"This paper decomposes excess return predictability in inflation-indexed and nominal government bonds into liquidity, market segmentation, real interest rate risk and inflation risk. We estimate a liquidity premium, which appears systematic in nature. It is around 40 to 70 bps during normal...

This paper presents new insights into the dynamics and determinants of arbitrage mispricing in and across seven of the world's largest and most liquid financial markets. Specifically, this paper analyzes mispricing between nominal and inflation-linked bonds (ILB mispricing) in the G7 government...