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

• 成果类型: Article
• 署名作者: Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi
• 署名单位: Singapore Management University; Washington State University; University of Texas System; University of Texas Arlington; City University of Hong Kong; University of Missouri System; University of Missouri Columbia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.08.002
• 发表日期: 2007
• 页码: 599-636
• 关键词: default intensity; risk-neutral valuation; amortization; tax spreads

摘要

Existing term structure models of defaultable bonds have often underestimated corporate bond spreads. A potential problem is that investors' taxes are ignored in these models. We propose a pricing model that accounts for stochastic default probability and differential tax treatments for discount and premium bonds. By estimating parameters directly from bond data, we obtain significantly positive estimates for the income tax rate of a marginal corporate bond investor after 1986. This contrasts sharply with the previous finding that the implied tax rates for Treasury bonds are close to zero. Results show that taxes explain a substantial portion of corporate bond spreads. (c) 2007 Elsevier B.V. All rights reserved.