Abstract
Internal Revenue Code provisions affect trading strategies for long‐term, fixed‐payment securities when investment income is subject to taxation and can create tax‐timing options of varying nontrivial values for specific bonds at specific times. In this paper, an estimate of the tax bracket of the marginal investor is used to measure the relative impact of changing tax‐timing option values on government bond prices. Results support the argument that tax‐timing options help to explain an apparent discrepancy between theoretical arguments regarding the tax bracket of the marginal investor and observed market relationships.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 93-103 |
| Number of pages | 11 |
| Journal | Journal of Financial Research |
| Volume | 13 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jan 1 1990 |
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ASJC Scopus subject areas
- Accounting
- Finance
Cite this
TAX‐TIMING OPTIONS AND THE PRICING OF GOVERNMENT BONDS. / Heuson, Andrea; Lasser, Dennis J.
In: Journal of Financial Research, Vol. 13, No. 2, 01.01.1990, p. 93-103.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - TAX‐TIMING OPTIONS AND THE PRICING OF GOVERNMENT BONDS
AU - Heuson, Andrea
AU - Lasser, Dennis J.
PY - 1990/1/1
Y1 - 1990/1/1
N2 - Internal Revenue Code provisions affect trading strategies for long‐term, fixed‐payment securities when investment income is subject to taxation and can create tax‐timing options of varying nontrivial values for specific bonds at specific times. In this paper, an estimate of the tax bracket of the marginal investor is used to measure the relative impact of changing tax‐timing option values on government bond prices. Results support the argument that tax‐timing options help to explain an apparent discrepancy between theoretical arguments regarding the tax bracket of the marginal investor and observed market relationships.
AB - Internal Revenue Code provisions affect trading strategies for long‐term, fixed‐payment securities when investment income is subject to taxation and can create tax‐timing options of varying nontrivial values for specific bonds at specific times. In this paper, an estimate of the tax bracket of the marginal investor is used to measure the relative impact of changing tax‐timing option values on government bond prices. Results support the argument that tax‐timing options help to explain an apparent discrepancy between theoretical arguments regarding the tax bracket of the marginal investor and observed market relationships.
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UR - http://www.scopus.com/inward/citedby.url?scp=84986522939&partnerID=8YFLogxK
U2 - 10.1111/j.1475-6803.1990.tb00540.x
DO - 10.1111/j.1475-6803.1990.tb00540.x
M3 - Article
AN - SCOPUS:84986522939
VL - 13
SP - 93
EP - 103
JO - Journal of Financial Research
JF - Journal of Financial Research
SN - 0270-2592
IS - 2
ER -