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Optimal bond trading with personal taxes

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Author Info
Constantinides, George M.
Ingersoll, Jonathan Jr.

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Abstract

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 13 (1984)
Issue (Month): 3 (September)
Pages: 299-335
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Handle: RePEc:eee:jfinec:v:13:y:1984:i:3:p:299-335

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Stuart Landon, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," EERI Research Paper Series EERI_RP_2009_20, Economics and Econometrics Research Institute (EERI). [Downloadable!]
    Other versions:
  2. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS. [Downloadable!]
  3. Patric H. Hendershott & David C. Ling, 1985. "The Administration Tax Reform Proposal and Housing," NBER Working Papers 1740, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Clemens Sialm, 2005. "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers 11756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Junbo Wang & Chunchi Wu & Frank Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series 2005-35, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Arthur B. Kennickell & Martha Starr-McCluer & Annika E. Sunden, 1996. "Saving and financial planning: some findings from a focus group," Finance and Economics Discussion Series 96-1, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Mark Grinblatt & Matti Keloharju, 2002. "Tax-Loss Trading and Wash Sales," NBER Working Papers 8745, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Hayne Leland, 1999. "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes," Research Program in Finance, Working Paper Series 1005, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
  10. S. R. Jaschke, . "Arbitrage Bounds for the Term Structure of Interest Rates," Sonderforschungsbereich 373 1995-35, Humboldt Universitaet Berlin.
  11. Patric H. Hendershott, 1985. "Tax Reform, Interest Rates and Capital Allocation," NBER Working Papers 1708, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee. [Downloadable!]
  13. Zoran Ivkovich & James Poterba & Scott Weisbenner, 2004. "Tax-Motivated Trading by Individual Investors," NBER Working Papers 10275, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Michael P. Ross., 1998. "Corporate Hedging: What, Why and How?," Research Program in Finance Working Papers RPF-280, University of California at Berkeley. [Downloadable!]
  15. James M. Poterba & Scott J. Weisbenner, 1998. "Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns," NBER Working Papers 6616, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
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  17. Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January. [Downloadable!] (restricted)
  18. Patric H. Hendershott, 1985. "Tax Reform and Financial Markets," NBER Working Papers 1707, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  19. Alan J. Auerbach & Leonard E. Burman & Jonathan Siegel, 1998. "Capital Gains Taxation and Tax Avoidance: New Evidence from Panel Data," NBER Working Papers 6399, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  20. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182. [Downloadable!]
  21. Patric H. Hendershott, 1986. "Tax Changes and Capital Allocation in the 1980s," NBER Working Papers 1911, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008. "Taxes on Tax-Exempt Bonds," NBER Working Papers 14496, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  23. Richard J. Rendleman, Jr. & Douglas A. Shackelford, 2003. "Diversification and the Taxation of Capital Gains and Losses," NBER Working Papers 9674, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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