We report that excess returns in the bond market exhibit the same features of short-term momentum and long-term reversals that are observed in the equity market. We test whether these findings can be accounted for within a behavioral framework using the expectations of the short yield that are...

We propose a behavioral explanation for the widely reported rejection of the rational expectations model of the term structure of interest rates. We distinguish between public and private information and show that overconfidence among investors about the precision of private information can...

Empirical rejections of the rational expectations hypothesis (REH) in the bond market have attracted much attention. In this paper we demonstrate that if agents have information about next period's short yield in addition to that contained in the current short yield, a small sample bias arises...

The expectations hypothesis of the term structure has been decisively rejected by a large empirical literature that spans several decades. In this paper, using a newly constructed dataset of synthetic zero coupon bond yields, we show that evidence against the expectations hypothesis became very...