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Liquidity, taxes and yield spreads b...

Yoo, Woongsun.

Liquidity, taxes and yield spreads between tax-exempt and taxable bonds.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Liquidity, taxes and yield spreads between tax-exempt and taxable bonds./
Author:	Yoo, Woongsun.
Description:	1 online resource (58 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
Contained By:	Dissertation Abstracts International78-04A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9781369185188

Liquidity, taxes and yield spreads between tax-exempt and taxable bonds.
Yoo, Woongsun.

Liquidity, taxes and yield spreads between tax-exempt and taxable bonds. - 1 online resource (58 pages)

Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor and time-varying risk premiums. I estimate the parameters of the model using the Kalman filter. I find that the estimate of the marginal investor's income tax rate from the generalized model is very close to the statutory corporate tax rate over the periods with different tax regimes. Ignoring the liquidity risk premium which is an important component of municipal yields, and failing to use the estimation method that efficiently captures time-varying features of risk premiums result in biased estimation of marginal investor's implicit tax rates.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369185188Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Liquidity, taxes and yield spreads between tax-exempt and taxable bonds.
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020 $a 9781369185188
035 $a (MiAaPQ)AAI10163877
035 $a (MiAaPQ)buffalo:14828
035 $a AAI10163877
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Yoo, Woongsun. $3 1179103
245 1 0 $a Liquidity, taxes and yield spreads between tax-exempt and taxable bonds.
264 0 $c 2016
300 $a 1 online resource (58 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
500 $a Adviser: Chunchi Wu.
502 $a Thesis (Ph.D.) $c State University of New York at Buffalo $d 2016.
504 $a Includes bibliographical references
520 $a This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor and time-varying risk premiums. I estimate the parameters of the model using the Kalman filter. I find that the estimate of the marginal investor's income tax rate from the generalized model is very close to the statutory corporate tax rate over the periods with different tax regimes. Ignoring the liquidity risk premium which is an important component of municipal yields, and failing to use the estimation method that efficiently captures time-varying features of risk premiums result in biased estimation of marginal investor's implicit tax rates.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a State University of New York at Buffalo. $b Finance. $3 1179104
773 0 $t Dissertation Abstracts International $g 78-04A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10163877 $z click for full text (PQDT)

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