Are there tax effects in the relative pricing of US government bonds?

• 成果类型: Article
• 署名作者: Green, RC; Odegaard, BA
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04815.x
• 发表日期: 1997
• 页码: 609-633
• 关键词: term structure; interest-rates; yield curves; INGERSOLL; liquidity; MODEL; COX

摘要

We investigate the impact of the Tax Reform Act of 1986 on the relative pricing of U.S. Treasury bonds. We obtain positive statistically and economically significant estimates for the implicit tax rates of a ''representative'' investor in the late 1970s and early 1980s. After the 1986 Tax Reform, the point estimates for the tax rate are close to zero. Tests for a regime shift associated with the 1986 Tax Reform support the hypothesis that this event largely eliminated tax effects from the term structure. We discuss both institutional and statutory explanations for this change.