Hostname: page-component-78c5997874-ndw9j Total loading time: 0 Render date: 2024-11-20T04:18:12.696Z Has data issue: false hasContentIssue false
  • English
  • Français

Taxation and Bond Market Equilibrium in a World of Uncertain Future Interest Rates

Published online by Cambridge University Press:  06 April 2009

Miles Livingston
Get access Rights & Permissions [Opens in a new window]

Extract

Throughout the finance and economics literature, it is widely recognized that taxation can significantly alter individual behavior and market equilibrium conditions. Yet, in the area of bonds, the impacts of taxation upon bond pricing have generally been ignored. The primary purpose of this paper is to trace out the impact of differential taxation of regular income and capital gains upon the pricing of coupon-bearing bonds.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 1 , March 1979 , pp. 11 - 27
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Buse, A. “Expectations, Prices, Coupons and Yields.” Journal of Finance (09 1970), pp. 809–818.Google Scholar
[2]Buse, A.. “Reply.” Journal of Finance (09 1975), pp. 1141–42.Google Scholar
[3]Caks, J. “The Coupon Effect on Yield to Maturity.” Journal of Finance (03 1977), pp. 103–115.CrossRefGoogle Scholar
[4]Cramer, R., and HatyK, S.. “The Consideration of Coupon Levels, Taxes, Reinvestment Rates, and Maturity in the Investment Management of Financial Institutions.” Journal of Financial and Quantitative Analysis (03 1975), pp. 67–84.Google Scholar
[5]Khang, C. “Expectations, Prices, Coupons and Yields: Comment.” Journal of Finance (09 1975), pp. 1137–40.Google Scholar
[6]Malkiel, B.The Term Structure of Interest Rates. New York: Basic Books (1972).Google Scholar
[7]Modigliani, F., and Miller, M. H.. “The Cost of Capital, Corporate Finance and the Theory of Investment.” American Economic Review (06 1958), pp.261–297.Google Scholar
[8]Modigliani, F., and Miller, M. H.. “Taxes and the Cost of Capital: A Correction.” American Economic Review (06 1963), pp. 433–443.Google Scholar
[9]Nelson, C.The Term Structure of Interest Rates. New York: Basic Books (1972).Google Scholar
[10]Robichek, A., and Niebuhr, W.. “Tax Induced Bias in Reported Treasury Yield.” Journal of Finance (12 1970), pp. 1081–1090.Google Scholar
[11]Weingartner, H. “The Generalized Rate of Return.” Journal of Financial and Quantitative Analysis (09 1966), pp. 1–29.Google Scholar