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Steuer-Klientel-Effekte: Realität oder Illusion?

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  • Bühler, Wolfgang
  • Rasch, Steffen

Abstract

Die empirische Überprüfung von steuerlich bedingten Marktsegmentationen (Steuer-Klientel- Effekten) ergab an den DM-Anleihemärkten asymmetrische Ergebnisse für Anleihen in Abhängigkeit von deren Kurshöhe. Im vorliegenden Beitrag werden diese Resultate durch Friktionen bei der Bildung von Substitutionsportefeuilles erklärt. Insbesondere kann ein bislang unbeachteter methodischer Kuponeffekt gezeigt werden, der sich mit steuerlichen Effekten überschneidet, so daß letztere teilweise Illusion sind. Die Diskussion basiert auf analytischen Lösungen für Grenzfälle bei der Ermittlung optimaler Portefeuilles nach Steuern unter Verwendung linearer Programme. Der vorliegende Beitrag umfaßt außerdem eine Systematisierung aller denkbaren Lösungsstrukturen in Substitutionsportefeuilles sowie eine entsprechende empirische Analyse aller beobachteten Fälle. ; A recent empirical investigation of Tax-Induced market segmentation (so called Tax clientele effects) in the German bond market shows asymmetrical findings for bonds depending on their price level. Our study explains these results with respect to problems in building substitution portfolios. Especially, we show a methodological coupon effect that was ignored so far, although it overlaps with the well-known Tax-Induced coupon effect. So the latter effect may be an illusion, in specific cases. Our discussion is based on analytical solutions for border-line cases of linear programs used to find optimal after-tax portfolios. More than this, our study contains a systematic discussion of all possible portfolio structures and even a corresponding empirical analysis of any observed case.

Suggested Citation

  • Bühler, Wolfgang & Rasch, Steffen, 1995. "Steuer-Klientel-Effekte: Realität oder Illusion?," ZEW Discussion Papers 95-05, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:9505
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    References listed on IDEAS

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    1. Ronn, Ehud I., 1987. "A New Linear Programming Approach to Bond Portfolio Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 439-466, December.
    2. Jordan, Bradford D. & Jordan, Susan D., 1991. "Tax options and the pricing of treasury bond triplets : Theory and evidence," Journal of Financial Economics, Elsevier, vol. 30(1), pages 135-164, November.
    3. Schaefer, Stephen M., 1982. "Tax-induced clientele effects in the market for British government securities : Placing bounds on security values in an incomplete market," Journal of Financial Economics, Elsevier, vol. 10(2), pages 121-159, July.
    4. Prisman, Eliezer Z., 1990. "A Unified Approach to Term Structure Estimation: A Methodology for Estimating the Term Structure in a Market with Frictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 127-142, March.
    5. Livingston, Miles, 1982. "The Pricing of Municipal Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(2), pages 179-193, June.
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    1. Bühler, Wolfgang & Rasch, Steffen, 1995. "Einflußfaktoren auf Steuer-Klientel-Effekte," ZEW Discussion Papers 95-07, ZEW - Leibniz Centre for European Economic Research.

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