Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory

N. Bulent Gultekin and Richard J. Rogalski
The Journal of Finance
Vol. 40, No. 1 (Mar., 1985), pp. 43-61
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328047
Stable URL: http://www.jstor.org/stable/2328047
Page Count: 19
  • Read Online (Free)
  • Download ($33.95)
  • Subscribe ($19.50)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory
Preview not available

Abstract

Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 1960-1979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent with the APT. Our sample data in the U.S. Treasury securities market are also not consistent with either version of the CAPM. One-month-ahead forecasts of excess returns using factor-generating models are compared with corresponding naive predictions or predictions using the "market model" with various market portfolios.

Page Thumbnails

  • Thumbnail: Page 
43
    43
  • Thumbnail: Page 
44
    44
  • Thumbnail: Page 
45
    45
  • Thumbnail: Page 
46
    46
  • Thumbnail: Page 
47
    47
  • Thumbnail: Page 
48
    48
  • Thumbnail: Page 
49
    49
  • Thumbnail: Page 
50
    50
  • Thumbnail: Page 
51
    51
  • Thumbnail: Page 
52
    52
  • Thumbnail: Page 
53
    53
  • Thumbnail: Page 
54
    54
  • Thumbnail: Page 
55
    55
  • Thumbnail: Page 
56
    56
  • Thumbnail: Page 
57
    57
  • Thumbnail: Page 
58
    58
  • Thumbnail: Page 
59
    59
  • Thumbnail: Page 
60
    60
  • Thumbnail: Page 
61
    61