Using historical data from 1926 to 2002, the article shows that for investors with very long horizons,(longer than 25 years), stocks were safer in the U.S. than government bonds. For investors with shorter horizons, both stocks and bonds were exposed to substantial risks, and stocks did not...

The literature on momentum is vast. No previous study, however, has examined trading rules along government bond term structures. Under index-duration-neutral and long-only constraints and with low trading costs, an equally weighted average strategy across 20 look-back windows produces an...