This paper studies the relationship between investors’ subjective expectations and the term structure of interest rates. Departing from rational expectations, we allow investors to hold arbitrary---and potentially heterogeneous---beliefs about future interest rates. We derive the relationships that expected and realized interest rates must satisfy under different assumptions about expectation formation,

and we develop regression-based tests for two key hypotheses: (i) that bond risk premia are constant, and (ii) that investors’ expectations across maturities and forecast horizons are consistent with one another. Using survey data, we find no evidence of time-varying risk premia for short-term bonds. We also document that market participants’ expectations are inconsistent with the structural relationships that link short- and long-term interest rates.