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Tax-Timing Options And The Pricing Of Government Bonds

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  • Andrea J. Heuson
  • Dennis J. Lasser

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  • Andrea J. Heuson & Dennis J. Lasser, 1990. "Tax-Timing Options And The Pricing Of Government Bonds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 93-103, June.
    • Handle: RePEc:bla:jfnres:v:13:y:1990:i:2:p:93-103
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1990.tb00540.x
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    References listed on IDEAS

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    1. Litzenberger, Robert H & Rolfo, Jacques, 1984. "An International Study of Tax Effects on Government Bonds," Journal of Finance, American Finance Association, vol. 39(1), pages 1-22, March.
    2. Burton G. Malkiel, 1962. "Expectations, Bond Prices, and the Term Structure of Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 76(2), pages 197-218.
    3. George M. CONSTANTINIDES & Jonathan E. INGERSOLL Jr., 2005. "Optimal Bond Trading With Personal Taxes," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 6, pages 165-206, World Scientific Publishing Co. Pte. Ltd..
    4. Litzenberger, Robert H. & Rolfo, Jacques, 1984. "Arbitrage pricing, transaction costs and taxation of capital gains : A study of government bonds with the same maturity date," Journal of Financial Economics, Elsevier, vol. 13(3), pages 337-351, September.
    5. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May.
    6. Robichek, Alexander A & Niebuhr, W David, 1970. "Tax-Induced Bias in Reported Treasury Yields," Journal of Finance, American Finance Association, vol. 25(5), pages 1081-1090, December.
    7. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June.
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    Cited by:

    1. Landon, Stuart, 2009. "The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2175-2184, December.
    2. Prisman, Eliezer Z. & Roberts, Gordon S. & Tian, Yisong, 1996. "Optimal bond trading and the tax-timing option in Canada," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1351-1363, September.

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