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

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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 Institute for Financial Research in its series SIFR Research Report Series with number 70.

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    Length: 31 pages
    Date of creation: 15 Apr 2010
    Date of revision:
    Handle: RePEc:hhs:sifrwp:0070

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    Keywords: Tax arbitrage; Coupon lottery; Lottery number checking; Ex-dividend day; Turn-of-the-year effect; Rationing; Underpricing;

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