Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US...

We show that in both index-linked bond markets and inflation swap markets liquidity is an important determinant of prices. We do so by means of an asset pricing model with a liquidity risk factor and asset-specific liquidity characteristics. This liquidity risk factor is based on the measures of...

Life expectancies are rapidly increasing and uncertain in all countries in Europe. To keep pension systems affordable, policy reforms are to be implemented which will encourage individuals to work longer. In this paper we analyze the impact of working and living longer on pension incomes in five...