Tax and liquidity effects in pricing government bonds
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. (Reprinted by permission of the publisher.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1998
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Can managers forecast aggregate market returns?
Article Abstract:
A study that emphasizes on the ability of managers to predict the power of share of equity and to predict stock returns is presented.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2005
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Economic news and the impact of trading on bond prices
Article Abstract:
The disclosure of macroeconomic information and its effect on government bond markets and bond prices is examined.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
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