Persistent Link:
http://hdl.handle.net/10150/184815
Title:
Tax effects and term structure measurement.
Author:
Barber, Joel Raymond.
Issue Date:
1989
Publisher:
The University of Arizona.
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.
Abstract:
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.
Type:
text; Dissertation-Reproduction (electronic)
Keywords:
Taxation of bonds, securities, etc. -- United States.; Tax planning -- United States.; Tax incentives -- United States.
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Business Administration; Graduate College
Degree Grantor:
University of Arizona
Advisor:
Bierwag, Gerald O.

Full metadata record

DC FieldValue Language
dc.language.isoenen_US
dc.titleTax effects and term structure measurement.en_US
dc.creatorBarber, Joel Raymond.en_US
dc.contributor.authorBarber, Joel Raymond.en_US
dc.date.issued1989en_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © 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.en_US
dc.description.abstractFor 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.en_US
dc.typetexten_US
dc.typeDissertation-Reproduction (electronic)en_US
dc.subjectTaxation of bonds, securities, etc. -- United States.en_US
dc.subjectTax planning -- United States.en_US
dc.subjectTax incentives -- United States.en_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineBusiness Administrationen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorBierwag, Gerald O.en_US
dc.contributor.committeememberDyl, Edward A.en_US
dc.contributor.committeememberBrenner, Robin J.en_US
dc.identifier.proquest9004966en_US
dc.identifier.oclc703257730en_US
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