Tax options and the pricing of treasury bond triplets : Theory and evidence
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- 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.
- Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," FRB Atlanta Working Paper 97-1, Federal Reserve Bank of Atlanta.
- King, Tao-Hsien Dolly, 2007. "Are embedded calls valuable? Evidence from agency bonds," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 57-79, January.
- Jordan, Bradford D. & Jordan, Susan D. & Jorgensen, Randy D., 1995. "A reexamination of option values implicit in callable Treasury bonds," Journal of Financial Economics, Elsevier, vol. 38(2), pages 141-162, June.
- Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
- Prisman, Eliezer Z. & Roberts, Gordon S. & Tian, Yisong, 1996. "Optimal bond trading and the tax-timing option in Canada," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1351-1363, September.
- Koch, Timothy W. & Stock, Duane, 1997. "An analysis of implied tax rates on long-term taxable and tax-exempt bonds," Journal of Business Research, Elsevier, vol. 38(2), pages 171-176, February.
- Jordan, Bradford D. & Jordan, Susan D., 1996. "Salomon brothers and the May 1991 Treasury auction: Analysis of a market corner," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 25-40, January.
- Landon, Stuart & Smith, Constance, 2008. "Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds," MPRA Paper 9959, University Library of Munich, Germany.
- Bühler, Wolfgang & Rasch, Steffen, 1995. "Steuer-Klientel-Effekte: Realität oder Illusion?," ZEW Discussion Papers 95-05, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
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