FLECKENSTEIN, MATTHIAS; LONGSTAFF, FRANCIS A.; LUSTIG, HANNO - In: Journal of Finance 69 (2014) 5, pp. 2151-2197
type="main" <title type="main">ABSTRACT</title> <p>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...</p>