Year: 1998
Type: article
Abstract: Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after‐tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bonds with long maturities.
Source: The Journal of Finance
Authors: Edwin J. Elton, T. Clifton Green
Institution: New York University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
Funder: University of Washington
OpenAlex ID: W2135498306