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Are There Tax Effects in the Relative Pricing of U.S. Government Bonds?

Citations

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Cited by:

  1. van Landschoot, A., 2003. "The Term Structure of Credit Spreads on Euro Corporate Bonds," Discussion Paper 2003-046, Tilburg University, Center for Economic Research.
  2. Jordan, James V. & Mansi, Sattar A., 2003. "Term structure estimation from on-the-run Treasuries," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1487-1509, August.
  3. Junbo Wang & Chunchi Wu & Frank X. Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series 2005-35, Board of Governors of the Federal Reserve System (U.S.).
  4. Zhong, Xiaoling & Wang, Junbo, 2018. "Prospect theory and corporate bond returns: An empirical study," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 25-48.
  5. Margaret Lamb & Andrew Lymer, 1999. "Taxation research in an accounting context: future prospects and interdisciplinary perspectives," European Accounting Review, Taylor & Francis Journals, vol. 8(4), pages 749-776.
  6. Van Landschoot, Astrid, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank.
  7. Poterba, James M., 2002. "Taxation, risk-taking, and household portfolio behavior," Handbook of Public Economics, in: A. J. Auerbach & M. Feldstein (ed.), Handbook of Public Economics, edition 1, volume 3, chapter 17, pages 1109-1171, Elsevier.
  8. Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015. "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, vol. 18(2), pages 107-143, July.
  9. 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.
  10. 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.
  11. Theodore M. Barnhill & Panagiotis Papapanagiotou & Liliana Schumacher, 2002. "Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 11(5), pages 401-443, December.
  12. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.
  13. Sattar A. Mansi & Jeffery H. Phillips, 2001. "Modeling The Term Structure From The On-The-Run Treasury Yield Curve," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 545-564, December.
  14. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.
  15. Kozicki, Sharon & Tinsley, P.A., 2005. "What do you expect? Imperfect policy credibility and tests of the expectations hypothesis," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 421-447, March.
  16. 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.
  17. Choi, Paul Moon Sub & Chung, Chune Young & Kim, Dongnyoung, 2020. "Corporate tax, financial leverage, and portfolio risk," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  18. Livingston, Miles & Wu, Yanbin & Zhou, Lei, 2019. "The decline in idiosyncratic values of US Treasury securities," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  19. Astrid Van Landschoot, 2004. "Determinants of Euro Term Structure of Credit Spreads," Working Paper Research 57, National Bank of Belgium.
  20. Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
  21. Frank S. Skinner & Michalis Ioannides, 2005. "FRS17 and the Sterling Double A Corporate Yield Curve," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(5‐6), pages 1141-1169, June.
  22. 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.
  23. Ertugrul, Mine & Hegde, Shantaram, 2008. "Board compensation practices and agency costs of debt," Journal of Corporate Finance, Elsevier, vol. 14(5), pages 512-531, December.
  24. 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.
  25. Anderson, Ronald C. & Mansi, Sattar A. & Reeb, David M., 2003. "Founding family ownership and the agency cost of debt," Journal of Financial Economics, Elsevier, vol. 68(2), pages 263-285, May.
  26. Marck Bulter & Miles Livingston & Lei Zhou, 2014. "A Long‐Term Perspective on the Determinants of Treasury Bond Stripping Levels," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 23(4), pages 179-210, November.
  27. Extension Faculty & Staff, 2011. "New York Economic Handbook, 2012," EB Series 121630, Cornell University, Department of Applied Economics and Management.
  28. Elton, Edwin J. & Gruber, Martin J. & Agrawal, Deepak & Mann, Christopher, 2004. "Factors affecting the valuation of corporate bonds," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2747-2767, November.
  29. Darko B. Vukovic & Carlos J. Rincon & Moinak Maiti, 2021. "Price distortions and municipal bonds premiums: evidence from Switzerland," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
  30. Chen, Wen, 2021. "Equity investor sentiment and bond market reaction: Test of overinvestment and capital flow hypotheses," Journal of Financial Markets, Elsevier, vol. 55(C).
  31. Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
  32. Jean‐Sébastien Fontaine & Guillaume Nolin, 2019. "Measuring Limits Of Arbitrage In Fixed‐Income Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(3), pages 525-552, September.
  33. 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.
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