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Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990

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  • Rydqvist, Kristian

Abstract

Swedish lottery bonds are valuable tax shelters before the tax reform of 1991. By trading around the coupon lottery, high-tax investors with capital gains from the stock market shift their tax liability to low-tax investors. The uncertainty of the coupon lottery and the effort of verifying the winning lottery bond numbers are a nuisance to tax traders. We investigate how the Treasury (issuer), market makers (banks), and lottery bond investors respond to those frictions.

Suggested Citation

  • Rydqvist, Kristian, 2010. "Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990," CEPR Discussion Papers 7767, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:7767
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    References listed on IDEAS

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    More about this item

    Keywords

    Ex-dividend day; Lottery number checking; Rationing; Tax arbitrage; Turn-of-the-year effect; Underpricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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