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Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990

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  • Rydqvist, Kristian
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    Abstract

    Swedish lottery bonds are valuable tax shelters before the tax reform of 1991. By trading around the coupon lottery, high-tax investors with capital gains from the stock market shift their tax liability to low-tax investors. The uncertainty of the coupon lottery and the effort of verifying the winning lottery bond numbers are a nuisance to tax traders. We investigate how the Treasury (issuer), market makers (banks), and lottery bond investors respond to those frictions.

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    Bibliographic Info

    Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 7767.

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    Date of creation: Mar 2010
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    Handle: RePEc:cpr:ceprdp:7767

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    Related research

    Keywords: ex-dividend day; lottery number checking; rationing; tax arbitrage; turn-of-the-year effect; underpricing;

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    References

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    1. Florentsen, Bjarne & Rydqvist, Kristian, 2002. "Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of Danish Lottery Bonds," Journal of Financial Intermediation, Elsevier, vol. 11(2), pages 152-175, April.
    2. Green, Richard C. & Rydqvist, Kristian, 1999. "Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds," Journal of Financial Economics, Elsevier, vol. 53(2), pages 145-187, August.
    3. Daniel Feenberg & Jonathan Skinner, 1989. "Sources of IRA Saving," NBER Working Papers 2845, National Bureau of Economic Research, Inc.
      • Daniel Feenberg & Jonathan Skinner, 1989. "Sources of IRA Saving," NBER Chapters, in: Tax Policy and the Economy, Volume 3, pages 25-46 National Bureau of Economic Research, Inc.
    4. Schilbred, Cornelius M, 1973. "The Market Price of Risk," Review of Economic Studies, Wiley Blackwell, vol. 40(2), pages 283-92, April.
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