The authors are from the University of Florida, New York University and Baylor University, respectively.
We wish to thank the Frank Russell Company for intellectual impetus and financial assistance for the present study, Dr. Martin Leibowitz of Salomon Brothers for yield series data, Haim Levy and others in the Florida Workshop for suggestions, and Richard Roll for his comments. Of course, these groups are absolved from any limitations of this study. Russell Fogler acknowledges computing support from the University of Florida. Kose John received support from a Faculty Research Grant from the Graduate School of Business Administration, New York University.