The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The TIPS‐Treasury Bond Puzzle
Open accessAbstract
We show that the price of a Treasury bond and an inflation‐swapped Treasury Inflation‐Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS‐Treasury mispricing has exceeded $56 billion, representing nearly 8% of the total amount of TIPS outstanding. We find direct evidence that the mispricing narrows as additional capital flows into the markets. This provides strong support for the slow‐moving‐capital explanation of arbitrage persistence.
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Citations
Cites
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
Swanson, E. T. (2021) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2020.09.003 · Cited by 600
Metadata
- Authors
- FLECKENSTEIN, M., LONGSTAFF, F. A., & LUSTIG, H.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2014-09-12
- Volume
- 69
- Issue
- 5
- Pages
- 2151-2197
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2108103725
- Cited by
- 288
- References
- 1
- FWCI
- 30.83
- Type
- journal article
- Language
- en
- Open access
- bronze
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- FLECKENSTEIN, M., LONGSTAFF, F. A., & LUSTIG, H. (2014). The TIPS‐Treasury Bond Puzzle. The Journal of Finance. https://doi.org/10.1111/jofi.12032
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
