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How much of the corporate bond spread is due to personal taxes?

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  • Liu, Sheen
  • Shi, Jian
  • Wang, Junbo
  • Wu, Chunchi

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  • Liu, Sheen & Shi, Jian & Wang, Junbo & Wu, Chunchi, 2007. "How much of the corporate bond spread is due to personal taxes?," Journal of Financial Economics, Elsevier, vol. 85(3), pages 599-636, September.
    • Handle: RePEc:eee:jfinec:v:85:y:2007:i:3:p:599-636
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    6. Sheen X. Liu & Howard Qi & Chunchi Wu, 2006. "Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads," Management Science, INFORMS, vol. 52(6), pages 939-954, June.
    7. Yawitz, Jess B & Maloney, Kevin J & Ederington, Louis H, 1985. "Taxes, Default Risk, and Yield Spreads," Journal of Finance, American Finance Association, vol. 40(4), pages 1127-1140, September.
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    15. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    16. R. K. Pachauri & Sujata Gupta, 2002. "Editorial," Climate Policy, Taylor & Francis Journals, vol. 2(2-3), pages 127-128, September.
    17. 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.
    18. Jordan, James V, 1984. "Tax Effects in Term Structure Estimation," Journal of Finance, American Finance Association, vol. 39(2), pages 393-406, June.
    19. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-482, October.
    20. R. Purdy, 2002. "Editorial," Climate Policy, Taylor & Francis Journals, vol. 2(1), pages 1-2, March.
    21. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 503-509, October.
    22. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    23. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    24. Kamara, Avraham, 1994. "Liquidity, Taxes, and Short-Term Treasury Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 403-417, September.
    25. Gregory R. Duffee, 1998. "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, American Finance Association, vol. 53(6), pages 2225-2241, December.
    26. Sarig, Oded & Warga, Arthur, 1989. " Some Empirical Estimates of the Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(5), pages 1351-1360, December.
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    Cited by:

    1. Jayadev M. & Joshy Jacob, 2010. "Default Risk Characteristics of Poll-Based Bond Spreads," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(1), pages 51-70, April.
    2. Wang, Junbo & Wu, Chunchi & Zhang, Frank X., 2008. "Liquidity, default, taxes, and yields on municipal bonds," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1133-1149, June.
    3. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2175-2184, December.
    4. Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
    5. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
    6. Marco Realdon, 2013. "Participation exemption and tax arbitrage: Italy’s case," European Journal of Law and Economics, Springer, vol. 36(1), pages 77-93, August.
    7. Qi, Howard & Liu, Sheen & Wu, Chunchi, 2010. "Structural models of corporate bond pricing with personal taxes," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1700-1718, July.
    8. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
    9. Berg, Tobias & Kaserer, Christoph, 2008. "Linking credit risk premia to the equity premium," CEFS Working Paper Series 2008-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    10. Joel F. Houston & Chen Lin & Junbo Wang, 2014. "Does Bank Monitoring Matter to Bondholders?," Working Papers 162014, Hong Kong Institute for Monetary Research.
    11. Olga S. Belomyttseva & Larisa S. Grinkevich & Anastasiia M. Grinkevich & Samo Bobek & Polona Tominc, 2018. "Tax incentives for bond-oriented individual investors: evidence from the Russian Federation," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 4(2), pages 108-124.
    12. Xinyuan Tao & Chunchi Wu, 2021. "Rating labels and style investing: Evidence from Moody's rating recalibration," Financial Management, Financial Management Association International, vol. 50(4), pages 1047-1084, December.
    13. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011. "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, vol. 99(3), pages 628-650, March.
    14. repec:wyi:journl:002109 is not listed on IDEAS
    15. Sheen X. Liu & Howard Qi & Chunchi Wu, 2006. "Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads," Management Science, INFORMS, vol. 52(6), pages 939-954, June.
    16. Petrasek, Lubomir, 2012. "Multimarket trading and corporate bond liquidity," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2110-2121.
    17. Marco Realdon, 2010. "After‐tax Valuation of Convertible Bonds and Participation Exemption," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 147-171, November.

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