PT - JOURNAL ARTICLE AU - Florian Bardong AU - Thorsten Lehnert TI - European Inflation-Indexed Government Debt Security Markets AID - 10.3905/jpm.2004.226 DP - 2004 Jul 31 TA - The Journal of Portfolio Management PG - 226--238 VI - 30 IP - 4 4099 - https://pm-research.com/content/30/4/226.short 4100 - https://pm-research.com/content/30/4/226.full AB - The U.K. was the first industrialized country to issue index-linked government bonds. France has joined this group of issuers recently with two series indexed either to French inflation or to inflation in the euro area. This investigation of the efficiency of these markets tests the information content of inflation forecasts to develop trading strategies speculating on the movement of break-even inflation. The results indicate that the market for the French OATi offers the possibility of excess returns, a result that is fairly consistent regardless of market frictions introduced in the return calculation. These trading strategies are beneficial for practitioners tracking index-linked bond indexes in the particular markets.