The TIPS‐Treasury Bond Puzzle
Matthias Fleckenstein; Francis A. Longstaff; Hanno Lustig · 2013 · The Journal of Finance
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract (excerpt)
ABSTRACT 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.…
Excerpt shown for reference under fair use — read the full paper at the publisher.
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Metadata source: OpenAlex · DOI 10.1111/jofi.12032