Tax and liquidity effects in pricing government bonds

• 成果类型: Article
• 署名作者: Elton, EJ; Green, TC
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00064
• 发表日期: 1998
• 页码: 1533-1562
• 关键词: SPECIAL REPO RATES; securities; maturity; MARKETS; yields

摘要

Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of Liquidity are primarily due to high volume bonds with long maturities.