Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?

• 成果类型: Article
• 署名作者: Longstaff, Francis A.
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01650.x
• 发表日期: 2011
• 页码: 721-751
• 关键词: term structure; Yield spreads; default risk; liquidity; MARKET; bonds; intermediation; determinants; Aftermarket; volatility

摘要

We study the marginal tax rate incorporated into short-term municipal rates using municipal swap market data. Using an affine model, we identify the marginal tax rate and the credit/liquidity spread in 1-week tax-exempt rates, as well as their associated risk premia. The marginal tax rate averages 38.0% and is related to stock, bond, and commodity returns. The tax risk premium is negative, consistent with the strong countercyclical nature of after-tax fixed-income cash flows. These results demonstrate that tax risk is a systematic asset pricing factor and help resolve the muni-bond puzzle.