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Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen

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  • Hoffmann, Steffen

Abstract

In den meisten Steuersystemen werden Kapitalerträge aus Anleihen nach dem Zuflussprinzip besteuert. Gewinne oder Verluste durch Kursveränderungen der Anleihen werden demnach erst dann besteuert, wenn sie mit einer Veräußerung der Anleihe tatsächlich realisiert werden. Ein Anleger, der seine Anleihe halten und dennoch eine Kursenkung steuerlich geltend machen möchte, kann dieses Prinzip aber leicht umgehen. Er braucht seine Anleihe nur zu ver- und unmittelbar wieder zurückzukaufen. In diesem Beitrag wird gezeigt, dass die Nachsteuer-Rendite beliebiger Anleihen mit solchen Verkauf-Rückkauf-Transaktionen gesteigert werden kann. Es wird hierzu eine Strategie vorgestellt, die zu der maximalen Nachsteuer-Rendite führt. Anschließend werden die Renditesteigerungen, die sich aus der Anwendung der optimalen Strategie gegenüber dem einfachen Halten der Anleihe ergeben, in Monte-Carlo-Simulationen bemessen. Schließlich wird herausgearbeitet, unter welchen Bedingungen eine steueroptimale Anlegerstrategie lohnenswert ist und unter welchen Bedingungen sie nur zu vernachlässigbaren Renditesteigerungen führt.

Suggested Citation

  • Hoffmann, Steffen, 2015. "Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 661, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    • Handle: RePEc:zbw:cauman:661
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    References listed on IDEAS

    as
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    3. Podlech, Nils, 2013. "Die Auswirkungen des Steuersystemwechsels vom Halbeinkünfteverfahren zur Abgeltungssteuer auf die Ausschüttungspolitik von Unternehmen," EconStor Preprints 75274, ZBW - Leibniz Information Centre for Economics.
    4. Podlech, Nils, 2012. "Dividenden und Aktienrückkäufe unter der Abgeltungssteuer," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 656, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    5. Podlech, Nils, 2013. "Die Auswirkungen des Steuersystemwechsels vom Halbeinkünfteverfahren zur Abgeltungssteuer auf die Ausschüttungspolitik von Unternehmen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 655, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
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    More about this item

    Keywords

    Steuerstundungseffekt; Anleihe; Zerobond; Kuponanleihe; Abgeltungsteuer;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General

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