Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?

• 成果类型: Article; Early Access
• 署名作者: Fleckenstein, Matthias; Longstaff, Francis A.
• 署名单位: University of Delaware; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf100
• 发表日期: 2025-12-30
• 关键词: G12; G28; CORPORATE YIELD SPREADS; default risk; Liquidity premium; term structure; GOVERNMENT; MARKET; rates; debt; heteroskedasticity; taxation

摘要

We study the valuation of state-issued tax-exempt municipal bonds and find that there are significant convenience premia in their prices. These premia parallel those identified in Treasury markets. We find evidence that these premia are tax related. Specifically, the premia are related to measures of tax and fiscal uncertainty, forecast flows into state municipal bond funds, and are directly linked to outmigration from high-tax to low-tax states and to other measures of tax aversion such as IRA and retirement plan contributions. These results suggest that investors are willing to pay a substantial premium to avoid taxes.