Suppose on 8/15/01, the price of the 0s becomes 98. What is the holding period return for the 0s from 2/15/01 to 8/15/01? Is the holding period return higher or lower than the expected return according to the local expectation hypothesis?
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Suppose on 8/15/01, the price of the 0s becomes 98. What is the holding period return for the 0s from 2/15/01 to 8/15/01? Is the holding period return higher or lower than the expected return according to the local expectation hypothesis?
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