This paper studies the relationship between subjective expectations and the term structure of interest rates. Departing from rational expectations, we allow market participants to hold arbitrary beliefs about future interest rates, and derive the condition that expected and realized interest rates must satisfy irrespective of how expectations are formed. We use this condition to decompose the sensitivity of long-term yields to the short-term interest rate into contributions from expectations and risk premia, without imposing any assumption on expectation formation. We find that, for short- and medium-maturity bonds, this sensitivity is driven primarily by movements in expectations rather than risk premia […]