Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Utilizing actual trade prices rather than dealer estimated quotes gives us a more accurate measure of market clearing prices. Daily trading volume is also available, which provides us with a robust measure of liquidity. We use two approaches, one of which is new, to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for evidence of tax and liquidity effects by including a liquidity term when fitting a cubic spine to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than prev...
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The meas...
The paper explores the determinants of yield differentials between sovereign bonds, using Euro area ...
The paper explores the determinants of yield differentials between sovereign bonds, using euro-area ...
Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Util...
Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Util...
Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Util...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
We study the effect of liquidity risk on the relative yields on municipal and taxable bonds. We empl...
In the first part of this study, the effects of liquidity and information risks on expected returns ...
The authors examine the relative yields of Treasuries and municipals using a generalized model that ...
The paper explores the determinants of yield differentials between sovereign bonds, using euro-area ...
For investors in a given tax bracket, bonds with certain combinations of price and maturity may domi...
Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conf...
Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conf...
The purpose of this thesis is to study various aspects of the liquidity term structure (in other wor...
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The meas...
The paper explores the determinants of yield differentials between sovereign bonds, using Euro area ...
The paper explores the determinants of yield differentials between sovereign bonds, using euro-area ...
Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Util...
Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Util...
Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Util...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
We study the effect of liquidity risk on the relative yields on municipal and taxable bonds. We empl...
In the first part of this study, the effects of liquidity and information risks on expected returns ...
The authors examine the relative yields of Treasuries and municipals using a generalized model that ...
The paper explores the determinants of yield differentials between sovereign bonds, using euro-area ...
For investors in a given tax bracket, bonds with certain combinations of price and maturity may domi...
Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conf...
Research on the impact of taxes on the pricing of government bonds has resulted in two somewhat conf...
The purpose of this thesis is to study various aspects of the liquidity term structure (in other wor...
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The meas...
The paper explores the determinants of yield differentials between sovereign bonds, using Euro area ...
The paper explores the determinants of yield differentials between sovereign bonds, using euro-area ...