Advanced search
Publication Cover
Financial Analysts Journal Volume 60, 2004 - Issue 1
Submit an article Journal homepage
106
Views
64
CrossRef citations to date
0
Altmetric
PORTFOLIO MANAGEMENT

Empirical TIPS

Richard Roll Richard Roll is Japan Alumni Chair in International Finance at the Anderson Graduate School of Management, University of California at Los Angeles.
Pages 31-53 | Published online: 02 Jan 2019

Citations (64)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (8)

Tri M. Hoang. (2023) Long-horizon asset and portfolio returns revisited: Evidence from US markets. Cogent Business & Management 10:2.
Read now
Ivo J.M. Arnold. (2015) One index fits none: the conundrum of euro area inflation-linked bonds. The European Journal of Finance 21:7, pages 575-583.
Read now
Laurens Swinkels. (2012) Emerging Market Inflation-Linked Bonds. Financial Analysts Journal 68:5, pages 38-56.
Read now
Quentin C. Chu, Deborah N. Pittman & Linda Q. Yu. (2011) When Do TIPS Prices Adjust to Inflation Information?. Financial Analysts Journal 67:2, pages 59-73.
Read now
Aleksandar Andonov, Florian Bardong & Thorsten Lehnert. (2010) TIPS, Inflation Expectations, and the Financial Crisis. Financial Analysts Journal 66:6, pages 27-39.
Read now
Paolo Falbo, Francesco M. Paris$suffix/text()$suffix/text() & Cristian Pelizzari. (2010) Pricing inflation-linked bonds. Quantitative Finance 10:3, pages 279-293.
Read now
Quentin C. Chu, Deborah N. Pittman & Jeng-Hong Chen. (2007) Inflation or disinflation? Evidence from maturing US Treasury Inflation-Protected Securities. Applied Economics 39:3, pages 361-372.
Read now
S.P. Kothari & Jay Shanken. (2004) Asset Allocation with Inflation-Protected Bonds. Financial Analysts Journal 60:1, pages 54-70.
Read now

Articles from other publishers (56)

Andrea BuraschiPaul Whelan. (2022) Speculation, Sentiment, and Interest Rates. Management Science 68:3, pages 2308-2329.
Crossref
Quentin C. Chu & Deborah N. Pittman. 2022. Encyclopedia of Finance. Encyclopedia of Finance 601 611 .
Chen Fei, Weiyin Fei, Fanhong Zhang & Xiaoguang Yang. (2022) Agent’s Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model. Journal of Systems Science and Complexity 34:6, pages 2291-2309.
Crossref
Cláudia Simões, Luís Oliveira & Jorge M. Bravo. (2021) Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits. Risks 9:4, pages 60.
Crossref
Farid Mkaouar, Jean-Luc Prigent & Ilyes Abid. (2017) A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates. Computational Economics 54:1, pages 367-417.
Crossref
Alexander Kupfer. 2019. Contemporary Topics in Finance. Contemporary Topics in Finance 117 149 .
Alexander Kupfer. (2018) ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW. Journal of Economic Surveys 32:5, pages 1326-1354.
Crossref
Philipp Karl Illeditsch. (2018) Residual Inflation Risk. Management Science 64:11, pages 5289-5314.
Crossref
Laurens Swinkels. (2018) Simulating historical inflation-linked bond returns. Journal of Empirical Finance 48, pages 374-389.
Crossref
Mei-Ling Tang, Son-Nan Chen, Gene C. Lai & Ting-Pin Wu. (2018) Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. Insurance: Mathematics and Economics 78, pages 87-104.
Crossref
Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 205 217 .
Farid Mkaouar, Jean-Luc Prigent & Ilyes Abid. (2017) Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. Economic Modelling 67, pages 228-247.
Crossref
Eric De Bodt & Michel Levasseur. 2017. Les Grands Auteurs en Finance. Les Grands Auteurs en Finance 291 318 .
Olesya V. Grishchenko, Joel M. Vanden & Jianing Zhang. (2016) The informational content of the embedded deflation option in TIPS. Journal of Banking & Finance 65, pages 1-26.
Crossref
Carolin E. Pflueger & Luis M. Viceira. 2016. Handbook of Fixed‐Income Securities. Handbook of Fixed‐Income Securities 191 209 .
MATTHIAS FLECKENSTEIN, FRANCIS A. LONGSTAFF & HANNO LUSTIG. (2014) The TIPS-Treasury Bond Puzzle. The Journal of Finance 69:5, pages 2151-2197.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2013) The Inflation Risk Premium: Evidence from the TIPS Market . The Journal of Fixed Income 22:4, pages 5-30.
Crossref
Olesya V. GrishchenkoJoel M. Vanden & Jianing Zhang. (2013) The Informational Content of the Embedded Deflation Option in TIPS. Finance and Economics Discussion Series 2013:24, pages 1-63.
Crossref
Jing-zhi Huang & Zhaodong Zhong. (2011) Time Variation in Diversification Benefits of Commodity, REITs, and TIPS. The Journal of Real Estate Finance and Economics 46:1, pages 152-192.
Crossref
Quentin C. Chu & Deborah N. Pittman. 2013. Encyclopedia of Finance. Encyclopedia of Finance 257 262 .
Álvaro Cartea, Jonatan Saúl & Juan Toro. (2012) Optimal portfolio choice in real terms: Measuring the benefits of TIPS. Journal of Empirical Finance 19:5, pages 721-740.
Crossref
Carolin E. PfluegerLuis M. Viceira. (2011) Inflation-Indexed Bonds and the Expectations Hypothesis. Annual Review of Financial Economics 3:1, pages 139-158.
Crossref
Martin Lettau & Jessica A. Wachter. (2011) The term structures of equity and interest rates. Journal of Financial Economics 101:1, pages 90-113.
Crossref
Salvatore Bruno & Ludwig Chincarini. (2011) A Multi-Asset Approach to Inflation Hedging fora U.S. Investor. The Journal of Portfolio Management 37:3, pages 102-115.
Crossref
Geert Bekaert & Xiaozheng Wang. (2010) Inflation risk and the inflation risk premium. Economic Policy 25:64, pages 755-806.
Crossref
Salvatore Bruno & Ludwig Chincarini. (2010) A historical examination of optimal real return portfolios for non-US investors. Review of Financial Economics 19:4, pages 161-178.
Crossref
Marie Brière & Ombretta Signori. (2009) Do Inflation-Linked Bonds Still Diversify?. European Financial Management 15:2, pages 279-297.
Crossref
Gady Jacoby & Ilona Shiller. (2008) Duration and Pricing of TIPS. The Journal of Fixed Income 18:2, pages 71-84.
Crossref
P. Brett Hammond. 2008. Handbook of Finance. Handbook of Finance.
ANDREW ANG, GEERT BEKAERT & MIN WEI. (2008) The Term Structure of Real Rates and Expected Inflation. The Journal of Finance 63:2, pages 797-849.
Crossref
Scott E. Hein & Jeffrey M. Mercer. (2006) ARE TREASURY INFLATION PROTECTED SECURITIES REALLY TAX DISADVANTAGED?. Journal of Financial Research 29:4, pages 575-592.
Crossref
Abraham Lioui & Patrice Poncet. (2005) General equilibrium pricing of CPI derivatives. Journal of Banking & Finance 29:5, pages 1265-1294.
Crossref
Quentin C. Chu, Deborah N. Pittman & Linda Q. Yu. (2005) Information Risk in TIPS Market: An Analysis of Nominal and Real Interest Rates. Review of Quantitative Finance and Accounting 24:3, pages 235-250.
Crossref
Ivo J.M. Arnold. (2006) Which Price Index for Eurozone Index-linked Bonds?. SSRN Electronic Journal.
Crossref
Abdullah Mamun & Nuttawat Visaltanachoti. (2006) Inflation Expectation and Asset Allocation in the Presence of an Indexed Bond. SSRN Electronic Journal.
Crossref
Jing-Zhi Huang & Zhaodong Zhong. (2010) Time Variation in Diversification Benefits of Commodity, REITs, and TIPS. SSRN Electronic Journal.
Crossref
Abdullah Mamun & Nuttawat Visaltanachoti. (2006) Diversification Benefits of Treasury Inflation Protected Securities: An Empirical Puzzle. SSRN Electronic Journal.
Crossref
Ren-Raw Chen, Bo Liu & Xiaolin Cheng. (2005) Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from TIPS. SSRN Electronic Journal.
Crossref
Daniel Nathan. (2018) Decomposing the Term Structure of Interests Rates: Evidence from a Small Open Economy. SSRN Electronic Journal.
Crossref
Laurens Swinkels. (2016) Simulating Historical Inflation-Linked Bond Returns. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko, Joel M. M. Vanden & Jianing Zhang. (2012) The Informational Content of the Embedded Deflation Option in TIPS. SSRN Electronic Journal.
Crossref
Matthias Fleckenstein. (2012) The Inflation-Indexed Bond Puzzle. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2012) The Inflation Risk Premium: Evidence from the TIPS Market. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2011) Inflation Risk Premium: Evidence from the TIPS Market. SSRN Electronic Journal.
Crossref
Martijn Boons, Frans A. de Roon & Marta Szymanowska. (2012) Sorting Out Inflation. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko, Joel M. M. Vanden & Jianing Zhang. (2011) The Information Content of the Embedded Deflation Option in TIPS. SSRN Electronic Journal.
Crossref
Andrea Buraschi & Paul Whelan. (2012) Term Structure Models with Differences in Beliefs. SSRN Electronic Journal.
Crossref
Álvaro Cartea, Jonatan Saúl & Juan Toro. (2011) Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS. SSRN Electronic Journal.
Crossref
Peter Hördahl & Oreste Tristani. (2010) Inflation Risk Premia in the US and the Euro Area. SSRN Electronic Journal.
Crossref
Matthias Fleckenstein, Francis A. Longstaff & Hanno N. Lustig. (2010) Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle. SSRN Electronic Journal.
Crossref
Salvatore Bruno & Ludwig B. Chincarini. (2010) Hedging Inflation Internationally. SSRN Electronic Journal.
Crossref
Thomas H. Kirschenmann & Ehud I. Ronn. (2009) Valuation of a New Class of Commodity-Linked Bonds with Partial Indexation Adjustments. SSRN Electronic Journal.
Crossref
Carles Vergara-Alert. (2009) The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments. SSRN Electronic Journal.
Crossref
Carles Vergara-Alert. (2009) The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2012) Inflation Risk Premium: Evidence from the TIPS Market. SSRN Electronic Journal.
Crossref
Peter Hördahl & Oreste Tristani. (2007) Inflation Risk Premia in the Term Structure of Interest Rates. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.