Implicit tax rates priced in the cross section of municipal bonds are approximately two to three times as high as statutory income tax rates, with implicit tax rates close to 100% using retail trades and above 70% for interdealer trades. These implied tax rates can be identified on the cross...

German Abstract: In der vorliegenden Arbeit diskutieren wir ein mehrperiodiges Arbitragemodell unter Einfluss von Cashflow-Prozessen und persönlicher Einkommensteuer. Unter speziellen Voraussetzungen im Binomialmodell, zeigen wir die Identität der risikoneutralen Wahrscheinlichkeit vor und...

Municipal bonds are often "advance refunded." Bonds that are not yet callable are defeasedby creating a trust that pays the interest up to the call date, and pays the call price. Newdebt, generally at lower interest rates, is issued to fund the trust. Issuing new securitiesto fund payments on...

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...

The Savings Directive has been celebrated as a major political break-through in coordinating taxation in Europe. Against this background, the present paper evaluates the real-world effects of this directive. The directive has left a loophole by providing grandfathering (exemption from...

This theoretical paper seeks to correct a common error about the effect of personal taxation on the expected pre-tax return earned on equity portfolios held by mutual funds in tax-sheltered retirement plans such as IRA and Keogh (401-k). Contrary to the prevailing view, the analysis reveals that...

This paper provides evidence consistent with shareholders' personal tax incentives affecting stock prices and trading volume. On June 24, 1998, the marginal tax rate on capital gains was reduced from 28 percent to 20 percent for individual investors holding shares between 12 and 18 months. This...

We examine how shareholder-level taxes affect the contemporaneous pricing of foreign firms' U.S. cross-listed and underlying home-country securities surrounding the 1997 reduction in U.S. capital gains tax rates. Consistent with tax capitalization, we find that the performance of cross-listed...

This paper examines the turn-of-the-year effect in Norway during 1984 and 1999, focusing on testing the tax-loss selling hypothesis. Using an interesting dataset that contains variations in a few tax codes, we find significant evidences that are largely supportive of the tax-related explanation...

The purpose of the paper is to study how changes in the Swedish tax system have influenced stock prices and trading volumes around the ex-dividend day. The hypothesis that the ex-dividend price ratio is unaffected by the relatively large tax policy changes in Sweden cannot be rejected, and the...