IDEAS home Printed from https://ideas.repec.org/p/zbw/cauman/661.html
   My bibliography  Save this paper

Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen

Author

Listed:
  • Hoffmann, Steffen

Abstract

In den meisten Steuersystemen werden Kapitalerträge aus Anleihen nach dem Zuflussprinzip besteuert. Gewinne oder Verluste durch Kursveränderungen der Anleihen werden demnach erst dann besteuert, wenn sie mit einer Veräußerung der Anleihe tatsächlich realisiert werden. Ein Anleger, der seine Anleihe halten und dennoch eine Kursenkung steuerlich geltend machen möchte, kann dieses Prinzip aber leicht umgehen. Er braucht seine Anleihe nur zu ver- und unmittelbar wieder zurückzukaufen. In diesem Beitrag wird gezeigt, dass die Nachsteuer-Rendite beliebiger Anleihen mit solchen Verkauf-Rückkauf-Transaktionen gesteigert werden kann. Es wird hierzu eine Strategie vorgestellt, die zu der maximalen Nachsteuer-Rendite führt. Anschließend werden die Renditesteigerungen, die sich aus der Anwendung der optimalen Strategie gegenüber dem einfachen Halten der Anleihe ergeben, in Monte-Carlo-Simulationen bemessen. Schließlich wird herausgearbeitet, unter welchen Bedingungen eine steueroptimale Anlegerstrategie lohnenswert ist und unter welchen Bedingungen sie nur zu vernachlässigbaren Renditesteigerungen führt.

Suggested Citation

  • Hoffmann, Steffen, 2015. "Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 661, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    • Handle: RePEc:zbw:cauman:661
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/113279/1/833034839.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Podlech, Nils, 2013. "Die Auswirkungen des Steuersystemwechsels vom Halbeinkünfteverfahren zur Abgeltungssteuer auf die Ausschüttungspolitik von Unternehmen," EconStor Preprints 75274, ZBW - Leibniz Information Centre for Economics.
    3. Podlech, Nils, 2013. "Die Auswirkungen des Steuersystemwechsels vom Halbeinkünfteverfahren zur Abgeltungssteuer auf die Ausschüttungspolitik von Unternehmen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 655, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    4. Kruschwitz, Lutz & Löffler, Andreas & von Lehna, Waldemar, 2010. "Was tun?," arqus Discussion Papers in Quantitative Tax Research 107, arqus - Arbeitskreis Quantitative Steuerlehre.
    5. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
    6. Podlech, Nils, 2012. "Dividenden und Aktienrückkäufe unter der Abgeltungssteuer," EconStor Preprints 75273, ZBW - Leibniz Information Centre for Economics.
    7. Podlech, Nils, 2012. "Dividenden und Aktienrückkäufe unter der Abgeltungssteuer," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 656, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    8. Sigloch, Jochen, 2009. "Ertragsteuerparadoxa: Ursachen und Erklärungsansätze," arqus Discussion Papers in Quantitative Tax Research 79, arqus - Arbeitskreis Quantitative Steuerlehre.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    2. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
    3. Camilla LandÊn, 2000. "Bond pricing in a hidden Markov model of the short rate," Finance and Stochastics, Springer, vol. 4(4), pages 371-389.
    4. Thomas Kokholm & Martin Stisen, 2015. "Joint pricing of VIX and SPX options with stochastic volatility and jump models," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 16(1), pages 27-48, January.
    5. Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco, 2012. "Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales," Contaduría y Administración, Accounting and Management, vol. 57(3), pages 115-145, julio-sep.
    6. Hisashi Nakamura & Wataru Nozawa & Akihiko Takahashi, 2009. "Macroeconomic Implications of Term Structures of Interest Rates Under Stochastic Differential Utility with Non-Unitary EIS," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(3), pages 231-263, September.
    7. Darren Shannon & Grigorios Fountas, 2021. "Extending the Heston Model to Forecast Motor Vehicle Collision Rates," Papers 2104.11461, arXiv.org, revised May 2021.
    8. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
    9. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
    10. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
    11. Gollier, Christian, 2002. "Time Horizon and the Discount Rate," Journal of Economic Theory, Elsevier, vol. 107(2), pages 463-473, December.
    12. Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," FRB Atlanta Working Paper 97-1, Federal Reserve Bank of Atlanta.
    13. Henry, Olan T. & Olekalns, Nilss & Suardi, Sandy, 2007. "Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies," Economics Letters, Elsevier, vol. 94(3), pages 383-388, March.
    14. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2003. "Are convertible bonds underpriced? An analysis of the French market," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 635-653, April.
    15. Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
    16. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    17. Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
    18. Sandrine Lardic & Claire Gauthier, 2003. "Un modèle multifactoriel des spreads de crédit : estimation sur panels complets et incomplets," Économie et Prévision, Programme National Persée, vol. 159(3), pages 53-69.
    19. A. Itkin & V. Shcherbakov & A. Veygman, 2019. "New Model For Pricing Quanto Credit Default Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-37, May.
    20. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.

    More about this item

    Keywords

    Steuerstundungseffekt; Anleihe; Zerobond; Kuponanleihe; Abgeltungsteuer;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:cauman:661. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/ibkiede.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.