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Einflußfaktoren auf Steuer-Klientel-Effekte

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  • Bühler, Wolfgang
  • Rasch, Steffen

Abstract

Die asymmetrische Besteuerung von Zinseinkünften und Kursgewinnen bei Privatanlegern kann zu Marktsegmentationen führen, die als Steuer-Klientel-Effekte bezeichnet werden. In der vorliegenden empirischen Studie wird dazu erstmals eine systematische quantitative Auswertung an den DM-Anleihemärkten vorgenommen. Im Ergebnis zeigt sich dabei eine geringer als erwartet ausgeprägte Abhängigkeit solcher Effekte von der Kuponhöhe und gar keine von der Restlaufzeit einer betrachteten Anleihe. Dagegen besitzen deren Kurs und der individuelle Steuersatz eines Privatanlegers einen hohen Erklärungsgehalt. Aus letzterem Ergebnis kann u. E. geschlossen werden, daß die Preisfindung an den DM-Anleihemärkten im wesentlichen von steuerbefreiten Anlegern beeinflußt wird. ; Asymmetrical Tax treatment of interest income and capital gains causes market segmentation (so called 'Tax clientele effects). In our empirical study we compute quantitative analysis in the German bond market, for the first time. Surprisingly, our results show that there is only partially a connection between the height of a coupon and the value of a Tax clientele effect. Time to maturity does not matter. The effect highly depends on the price of a bond and on the investor's individual Tax rate. This can be taken for a hint that prices in the German bond market are set by Tax free investors.

Suggested Citation

  • Bühler, Wolfgang & Rasch, Steffen, 1995. "Einflußfaktoren auf Steuer-Klientel-Effekte," ZEW Discussion Papers 95-07, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  • Handle: RePEc:zbw:zewdip:9507
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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(04), pages 439-466, December.
    2. George M. CONSTANTINIDES & Jonathan E. INGERSOLL Jr., 2005. "Optimal Bond Trading With Personal Taxes," World Scientific Book Chapters,in: Theory Of Valuation, chapter 6, pages 165-206 World Scientific Publishing Co. Pte. Ltd..
    3. Constantinides, George M & Ingersoll, Jonathan E, Jr, 1982. " Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves," Journal of Finance, American Finance Association, vol. 37(2), pages 349-352, May.
    4. James M. Poterba, 1986. "Explaining the Yield Spread between Taxable and Tax-exempt Bonds: The Role of Expected Tax Policy," NBER Chapters,in: Studies in State and Local Public Finance, pages 5-52 National Bureau of Economic Research, Inc.
    5. Bühler, Wolfgang & Rasch, Steffen, 1994. "Steuer-Klientel-Effekte an DM-Anleihemärkten," ZEW Discussion Papers 94-09, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    6. Hodges, S. D. & Schaefer, S. M., 1977. "A Model for Bond Portfolio Improvement," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(02), pages 243-260, June.
    7. 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.
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