Return to maturity expectations


 

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Return to maturity expectations

A variant of pure expectations theory that suggests that the return an investor will realize by rolling over short-term bonds to some investment horizon will be the same as holding a zero-coupon bond with a maturity that is the same as that investment horizon.



Return to maturity expectations

Similar Matches

Expectations hypothesis theories

Expectations hypothesis theories

Theories of the term structure of interest rates, which include the pure expectations theory; the liquidity theory of the term structure, and the preferred habitat theory. These theories hold that each forward rate equals the expected future interest rate for the relevant period. These three theories differ, however, on whether other factors also affect forward rates, and how.


Homogeneous expectations assumption

Homogeneous expectations assumption

An assumption of Markowitz portfolio construction that investors have the same expectations with respect to the inputs that are used to derive efficient portfolios: asset returns, variances, and covariances.


Unbiased expectations hypothesis

Unbiased expectations hypothesis

Theory that forward exchange rates are unbiased predictors of future spot rates. See Forward parity.


Local expectations hypothesis (LEH)

Local expectations hypothesis (LEH)

Theory that bonds similar in all aspects except maturity will have the same holding-period rate of return.


Local expectations theory

Local expectations theory

A form of the pure expectations theory that suggests that the returns on bonds of different maturities will be the same over a short-term investment horizon.


Further Suggestions

Expectations theory of forward exchange rates
Rational expectations


 
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