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Liquidity, taxes and yield spreads b...
~
Yoo, Woongsun.
Liquidity, taxes and yield spreads between tax-exempt and taxable bonds.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Liquidity, taxes and yield spreads between tax-exempt and taxable bonds./
作者:
Yoo, Woongsun.
面頁冊數:
1 online resource (58 pages)
附註:
Source: Dissertation Abstracts International, Volume: 78-04(E), Section: A.
Contained By:
Dissertation Abstracts International78-04A(E).
標題:
Finance. -
電子資源:
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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Includes bibliographical references
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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.
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Electronic reproduction.
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Ann Arbor, Mich. :
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ProQuest,
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2018
538
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Mode of access: World Wide Web
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Finance.
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click for full text (PQDT)
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