Re: moore on term structure (Henwood's post)

[Christopher Niggle <niggle@xxxxxxxxxxxxxx>]

Doug:  Even if bonds are churned, anyone holding one will experience a
larger capital loss if rates rise during that thirty days and they have to
sell (a larger loss than if they were holding short securities - look at a
bond table).  The greater risk demands a higher expected return.

Chris

On Tue, 7 Oct 1997, Doug Henwood wrote:

> Christopher Niggle wrote:
>
> >Perhaps I'm missing something but the straighforward answer for the long
> >maturity premium is that long bonds have greater interest rate risk, and
> >most bond investors are risk averse....right?
>
> Except that the average holding period for a US Treasury long bond is about
> 30 days.
>
> Doug
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