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...