本文使用從3個月至10年的歐洲美元期貨利率在1998至2010年間，來解釋預期理論失敗的原因，本文發現非預期的成份，當以投資者情緒來表示時，能解釋預期誤差。本文貢獻在於解釋了預期假設說被拒?的原因。當沒有考慮非理性因素時，理性因子，如期間溢酬，披索問題，或者是投資者的學習行為，無法完全的解釋預期誤差。特別是，長期利率的預期假設說中較受投資者情緒影響，然而短期利率較受期間溢酬的影響。當預期期間增加時，投資者情緒對於預期理論的影響較大。 Using weekly Eurodollar futures rates ranging from 3 months to 10 years and different forecast horizons for the period between 1998 and 2010, this paper finds that an irrational component specified by investor sentiment proxies explains expectation biases. This contributes to the explanation for rejection of the expectation hypothesis (EH). Without considering irrationality, the rational variables, such as time-varying term premium, the peso problem, or the learning behavior of investors, are unable to fully explain the expectation bias. Particularly, the deviation of EH for the long-term rates is more attributable to investor sentiment, whereas the short-term rate is more dependent upon the term premium. As the forecasting horizon increases, investor sentiment has a greater impact on the deviation of EH.
