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Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle

Longstaff, Francis A.; Lustig, Hanno; Fleckenstein, Matthias - National Bureau of Economic Research (NBER) - 2010

We show that the price of a Treasury bond and an inflation-swapped 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...

Persistent link: https://www.econbiz.de/10008565072

The subprime credit crisis and contagion in financial markets

Longstaff, Francis A. - In: Journal of financial economics 97 (2010) 3, pp. 436-450

Persistent link: https://www.econbiz.de/10008660531

Municipal debt and marginal tax rates : is there a tax premium in asset prices ?

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 721-751

Persistent link: https://www.econbiz.de/10009160340

Municipal debt and marginal tax rates : is there a tax premium in asset prices?

Longstaff, Francis A. - 2009

Persistent link: https://www.econbiz.de/10003804127

The flight-to-liquidity premium in US Treasury bond prices

Longstaff, Francis A. - In: The journal of business : B 77 (2004) 3, pp. 511-526

Persistent link: https://www.econbiz.de/10002205049

Placing no-arbitrage bounds on the value of nonmarketable and thinly-traded securities

Longstaff, Francis A. - In: Advances in futures and options research : a research annual 8 (1995), pp. 203-228

Persistent link: https://www.econbiz.de/10001211286

Time varying term premia and traditional hypotheses about the term structure

Longstaff, Francis A. - In: The journal of finance : the journal of the American … 45 (1990) 4, pp. 1307-1314

Persistent link: https://www.econbiz.de/10001098060

The valuation of options on yields

Longstaff, Francis A. - In: Journal of financial economics 26 (1990) 1, pp. 97-121

Persistent link: https://www.econbiz.de/10001100937

The flight-to-liquidity premium in US treasury bond prices

Longstaff, Francis A. - 2002

Persistent link: https://www.econbiz.de/10001710528

Financial claustrophobia : asset pricing in illiquid markets

Longstaff, Francis A. - 2004

Persistent link: https://www.econbiz.de/10002019168

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