Tax effects and term structure measurement.

For investors in a given tax bracket, bonds with certain combinations of price and maturity may dominate other bonds. If markets are complete, S. M. Schaefer proved that a prohibition on short sales will give rise to tax-induced clienteles. Thus, bonds classified into groups by price and maturity may be held by investors in different tax brackets. Because of the tax advantages associated with discount bonds, there should be a tendency for high tax bracket investors to hold discount bonds and for low tax bracket investors to hold par and near-par bonds. An empirical consquence of this is that the after-tax term structure and implied tax rates may be different across different sets of bonds. The objective of this study is to test empirically for tax-induced clienteles in the market for government bonds with a regression methodology. Nonlinear least squares is used to simultaneously estimate the after-tax term structure and the corresponding implied tax rates. The estimation is performed on each group separately and on the entire sample. The null hypothesis is that the sets of parameters describing the after-tax term structure are equal across the groups. The alternative hypothesis, which will be termed the tax clientele hypothesis, is that sets of parameters are not equal across the groups.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

doctoral

Discipline thesis:degree_discipline

Business Administration

Grantor dc:publisher

The University of Arizona.

Year dc:date.issued

1989

Author dc:creator

• Barber, Joel Raymond.

Advisor dc:contributor.advisor

• Bierwag, Gerald O.

Committee members dc:contributor.committeemember

• Dyl, Edward A.
• Brenner, Robin J.

• Taxation of bonds, securities, etc. -- United States.
• Tax planning -- United States.
• Tax incentives -- United States.

Statement dc:rights

• Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.

Language dc:language.iso

en

Handle dc:identifier.uri

http://hdl.handle.net/10150/184815

OAI identifier oai:identifier

oai:repository.arizona.edu:10150/184815