This paper analyzes the maturity structure of term premia using McCulloch's U.S. Treasury yield curve data from 1953-91, allowing expected returns to vary across time. One-, three-, six-, and twelve-month holding period returns on maturities up to five years are projected on three ex ante variables to compute time-varying expected returns, and simulations are employed to evaluate econometrically nonstandard constraints. The likelihood of expected returns monotonically increasing in maturity (as implied by the liquidity preference hypothesis) is found to vary systematically across values of the ex ante variables and by holding period. Monotonicity is associated primarily with a steep yield curve, high interest rates, and longer holding periods, while the hypothesis that nonmonotonic (hump-shaped) maturity-return profiles are correlated with the onset of recessions does not receive much support.