Campbell and Shiller paper

Question 1

In the paper by Campbell and Shiller (1991), the authors test some type
of predictability. Their first table reports the following results
Select which of the following statements is correct:
(a) The authors confirm that even in this market there exist a Momentum effect.
(b) Forward rates are not martingales and can be explained by monetary policy
shocks.
(c) The relationship between changes in bond yields and the slope of the term
structure is positive, contrary to the Expectation Hypothesis.
(d) The relationship between changes in bond yields and the slope of the term
structure is negative, contrary to the Expectation Hypothesis.
(e) The slope of the term structure does not predict future bond returns.

Answer 1

D