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The Journal of Fixed Income

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Primary Article

Information Content of Maturing TIIS

Quentin C. Chu, Deborah N. Pittman and Linda Q. Yu
The Journal of Fixed Income Spring 2004, 13 (4) 90-99; DOI: https://doi.org/10.3905/jfi.2004.391031
Quentin C. Chu
A professor of finance at the Fogelman College of Business and Economics at the University of Memphis in Memphis, TN.
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  • For correspondence: qchu@memphis.edu
Deborah N. Pittman
An assistant professor of finance at Rhodes College in Memphis, TN.
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  • For correspondence: pittman@rhodes.edu
Linda Q. Yu
An assistant professor of finance at SUNY Institute of Technology in Utica, NY.
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  • For correspondence: yul@sunyit.edu
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Abstract

During their last coupon period, Treasury Inflation-Indexed Securities (TIIS) are transformed from inflation-protection securities into Treasury bills due to the lag effect in indexing inflation. A study of the first issue of TIIS that matured on July 15, 2002, indicates that TIIS prices in the final six months convey useful information about the market's assessment of inflation risk. TIIS prices reveal that the market was concerned more about disinflation than inflation during the first quarter of 2002. This special period of transformation also permits a controlled experiment of the market's ability to aggregate information about inflation; TIIS prices efficiently reflect inflation information at the time inflation takes place.

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The Journal of Fixed Income
Vol. 13, Issue 4
Spring 2004
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Information Content of Maturing TIIS
Quentin C. Chu, Deborah N. Pittman, Linda Q. Yu
The Journal of Fixed Income Mar 2004, 13 (4) 90-99; DOI: 10.3905/jfi.2004.391031

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Information Content of Maturing TIIS
Quentin C. Chu, Deborah N. Pittman, Linda Q. Yu
The Journal of Fixed Income Mar 2004, 13 (4) 90-99; DOI: 10.3905/jfi.2004.391031
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