THE TERM STRUCTURE OF INTEREST RATES AND HOLDING-PERIOD YIELDS ON GOVERNMENT SECURITIES.

The article presents findings on the behavior of Treasury bill and bond holding-period yields which influence the determination of term structure. Alternative theories of the term structure are examined, focusing on relationships between yields anticipated over the same holding period on securities with different maturities, and between expected short-term rates and the term structure. Uniform expectations with and without risk aversion, diverse expectations with risk aversion, and segmented markets are discussed. The author also considers realized holding-period yields under alternative theories of the term structure.