原书课后题答案里说:“Thus, if the yield curve steepens it is likely to result in higher returns for short maturity bonds and lower returns for long maturity bonds.”
这句话是不是说反了呀?
如果yield都是上升,那long term yield上升幅度更大才会使curve更陡峭,则会result in higher returns for long maturity bonds and lower returns for short maturity bonds。
如果yield都是下跌,那short term yield下跌幅度更大才会使curve更陡峭,则会result in lower returns for short maturity bonds and higher returns for short maturity bonds (compared with the return for short maturity)。
如果一个上升,另一个下跌,那curve应该就是inverted,并且无法用steepness factor 来衡量了吧。