TAX OPTIONS AND THE PRICING OF TREASURY BOND TRIPLETS - THEORY AND EVIDENCE
成果类型：
Article
署名作者：
JORDAN, BD; JORDAN, SD
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(91)90040-Q
发表日期：
1991
页码：
135-164
关键词：
摘要：
This study uses Treasury bond triplets, which consist of three different Treasury issues with a common maturity date, to investigate the theoretical and empirical influence of tax strategies on Treasury prices. The tax-option effect, which arises from the right to optimally realize gains and losses for tax purposes, is found to induce convexity in the relation among triplet bond prices, but the effect is too small to create an arbitrage opportunity. A previous study [Litzenberger and Rolfo (1984)] is shown to incorrectly isolate the tax-option effect and hence misstate some key result; a correction is provided.