Bridge over ocean
1 March 2011 Financial Analysts Journal Volume 67, Issue 2

When Do TIPS Prices Adjust to Inflation Information?

  1. Quentin C. Chu
  2. Deborah N. Pittman
  3. Linda Q. Yu

This event study of market efficiency found that prices of Treasury Inflation-Protected Securities (TIPS) adjust to inflation information without delay during the U.S. Consumer Price Index (CPI) survey period and even before the beginning of the survey period. The cumulative effect of unexpected inflation on the TIPS holding period returns peaks at the end of the survey period. After the CPI announcement, there is no discernible price adjustment.

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