메뉴 건너뛰기




Volumn 52, Issue 2, 1997, Pages 609-633

Are there tax effects in the relative pricing of U.S. government bonds?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0039562101     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1997.tb04815.x     Document Type: Article
Times cited : (49)

References (23)
  • 1
    • 84963021955 scopus 로고
    • Inference in nonlinear econometric models with structural change
    • Andrews, Donald W. K., and Ray C. Fair, 1988, Inference in nonlinear econometric models with structural change, Review of Economic Studies 55, 615-640.
    • (1988) Review of Economic Studies , vol.55 , pp. 615-640
    • Andrews, D.W.K.1    Fair, R.C.2
  • 3
    • 0344970549 scopus 로고
    • The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates
    • Brown, Stephen J., and Philip H. Dybvig, 1986, The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates, Journal of Finance 41, 617-632.
    • (1986) Journal of Finance , vol.41 , pp. 617-632
    • Brown, S.J.1    Dybvig, P.H.2
  • 6
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox, John C., John E. Ingersoll, and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 285-408.
    • (1985) Econometrica , vol.53 , pp. 285-408
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 8
    • 0001804215 scopus 로고
    • Cash stream valuation in the face of transactions costs and taxes
    • Dermody, Jaime C., and R. Tyrrell Rockafellar, 1991, Cash stream valuation in the face of transactions costs and taxes, Mathematical Finance 1, 31-54.
    • (1991) Mathematical Finance , vol.1 , pp. 31-54
    • Dermody, J.C.1    Rockafellar, R.T.2
  • 9
    • 0040759953 scopus 로고
    • Federal income tax treatment of fixed income securities
    • Frank J. Fabozzi, Ed. (Dow Jones-Irwin, Homewood, Ill.)
    • Fabozzi, Frank J., and David Z. Nirenberg, 1991, Federal income tax treatment of fixed income securities, in Frank J. Fabozzi, Ed.: Handbook of Fixed Income Securities (Dow Jones-Irwin, Homewood, Ill.).
    • (1991) Handbook of Fixed Income Securities
    • Fabozzi, F.J.1    Nirenberg, D.Z.2
  • 10
    • 21144459836 scopus 로고
    • A simple model of the taxable and tax-exempt yield curves
    • Green, Richard C., 1993, A simple model of the taxable and tax-exempt yield curves, Review of Financial Studies 6, 233-264.
    • (1993) Review of Financial Studies , vol.6 , pp. 233-264
    • Green, R.C.1
  • 11
    • 0000323642 scopus 로고
    • Tax effects in term structure estimation
    • Jordan, James V., 1984, Tax effects in term structure estimation, Journal of Finance 39, 393-406.
    • (1984) Journal of Finance , vol.39 , pp. 393-406
    • Jordan, J.V.1
  • 13
    • 0038981684 scopus 로고
    • Tax effects on the pricing of government securities
    • Sudipto Bhattacharya and George M. Constantinides, Eds. (Rowman and Littlefield, Totowa, NJ.)
    • Litzenberger, Robert H., 1989, Tax effects on the pricing of government securities, in Sudipto Bhattacharya and George M. Constantinides, Eds.: Theory of Valuation (Rowman and Littlefield, Totowa, NJ.).
    • (1989) Theory of Valuation
    • Litzenberger, R.H.1
  • 14
    • 0011704612 scopus 로고
    • An international study of tax effects on government bond prices
    • Litzenberger, Robert H., and Jaques Rolfo, 1984a, An international study of tax effects on government bond prices, Journal of Finance 39, 1-22.
    • (1984) Journal of Finance , vol.39 , pp. 1-22
    • Litzenberger, R.H.1    Rolfo, J.2
  • 15
    • 0000131654 scopus 로고
    • Arbitrage pricing, transaction costs and taxation of capital gains: A study of government bonds with the same maturity date
    • Litzenberger, Robert H., and Jaques Rolfo, 1984b, Arbitrage pricing, transaction costs and taxation of capital gains: A study of government bonds with the same maturity date, Journal of Financial Economics 13, 337-351.
    • (1984) Journal of Financial Economics , vol.13 , pp. 337-351
    • Litzenberger, R.H.1    Rolfo, J.2
  • 16
    • 0002834716 scopus 로고
    • Measuring the term structure of interest rates
    • McCulloch, J. Houston, 1971, Measuring the term structure of interest rates, Journal of Business 44, 19-31.
    • (1971) Journal of Business , vol.44 , pp. 19-31
    • McCulloch, J.H.1
  • 17
    • 0000807650 scopus 로고
    • The tax adjusted yield curve
    • McCulloch, J. Houston, 1975, The tax adjusted yield curve, Journal of Finance 30, 811-829.
    • (1975) Journal of Finance , vol.30 , pp. 811-829
    • McCulloch, J.H.1
  • 18
    • 0001491925 scopus 로고
    • Parsimonious modelling of yield curves
    • Nelson, Charles R., and Andrew F. Siegel, 1987, Parsimonious modelling of yield curves, Journal of Business 60, 473-489.
    • (1987) Journal of Business , vol.60 , pp. 473-489
    • Nelson, C.R.1    Siegel, A.F.2
  • 19
    • 0000706085 scopus 로고
    • A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 20
    • 84993661234 scopus 로고
    • Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model
    • Pearson, Neil D., and Tong-Shen Sun, 1994, Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll, and Ross model, Journal of Finance 49, 1279-1304.
    • (1994) Journal of Finance , vol.49 , pp. 1279-1304
    • Pearson, N.D.1    Sun, T.-S.2
  • 21
    • 0000829932 scopus 로고
    • A new linear programming approach to bond portfolio management
    • Ronn, Ehud I., 1987, A new linear programming approach to bond portfolio management, Journal of Financial and Quantitative Analysis 22, 439-466.
    • (1987) Journal of Financial and Quantitative Analysis , vol.22 , pp. 439-466
    • Ronn, E.I.1
  • 22
    • 0010189792 scopus 로고
    • Tax induced clientele effects in the market for British government securities
    • Schaefer, Stephen M., 1982, Tax induced clientele effects in the market for British government securities, Journal of Financial Economics 10, 121-159.
    • (1982) Journal of Financial Economics , vol.10 , pp. 121-159
    • Schaefer, S.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.