Risk Premium Information from Treasury-Bill Yields
研究发现短期国库券收益率包含长期国债收益率无法解释的风险溢价信息，并将其分解为长期和短期两个成分，分别影响收益率曲线斜率与债券流动性溢价。
I find that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate 2 components of risk premiums: long term and short term. The long-term component steepens the slope of yield curves and has a forecastability horizon of longer than 1 year. In contrast, the short-term component affects Treasury-bill yields but is almost invisible from Treasury bonds, has a forecastability horizon of less than 1 quarter, and is related to bond liquidity premiums.