This paper challenges accepted methods of calculating the effect of deferred realization on the effective rate of capital gains tax paid by common shareholders and their overall tax burden. Those methods are shown to implicitly assume the special case of gains accrued in lump sum, even under the...

Margin requirements are designed to control the default risk inherent to commitments undertaken by traders writing options. Much like similar institutions, the Tel Aviv Stock Exchange first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...

Margin requirements are designed to control the default risk inherent to commitments undertaken by option traders. Much like similar institutions, the Tel Aviv Stock Exchange (TASE) first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...

An explanation is provided for the following seemingly unrelated pieces of evidence concerning unions and pension plans in the United States: 1) The pension wealth of union members is greater than that of other workers, but 2) union pension plans are more often underfunded and 3) more likely to...

Resemblance in portfolio composition of sheltered and unsheltered equity funds held by open-end U.S. investment companies is consistent with their practice of identifying sheltered vs. unsheltered claims on the same portfolios instead of segregating portfolios based on shareholders' tax...

Considerable resources have been expended over the years debating the business tax treatment of market-purchased insurance versus self insurance. Following a long tradition, the U.S. Internal Revenue Service treats only the latter as acceptable evidence of risk shifting and therefore worthy of...

Traditional static models of corporations' interior optimum leverage rely on institutional mechanisms such as taxes, bankruptcy costs, and agency costs. Theories of leverage indifference in the presence of risky debt depend on various features of perfect and complete markets and on the...

Created under the power of the Banking Act of 1933, Regulation Q was designed to control the cost of bank borrowing by curbing competition for deposit liabilities, a factor thought to induce investment in high-yield risky assets. Although a number of studies in recent years have sought to assess...

The term structure of default-free interest rates is not directly observable in a market where government obligations of various maturities bear coupons at different rates, and where ordinary income and capital gains are subject to unknown and varying effective tax rates. Accurate knowledge of...

Roll [JFE 1977] demonstrates that the probability of early exercise of equity call options is low for small dividend payouts. Geske and Shastri [JBF 1985] show that unless dividends are small, put equity options would not be exercised early. Subsequently, Shastri and Tandon [JFM 1986] argue that...