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EQUILIBRIUM PRICING, TAX CLIENTELES, MARGINAL TAX RATES, AND TERM PREMIUMS IN THE DEFAULT-FREE DEBT MARKET.

机译：缺省债务市场中的均衡定价，税金客户，边际税率和有效期溢价。

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摘要

Under differential taxation of interest income and capital gains, heterogeneous personal tax rates may lead to the formation of tax clienteles according to coupon levels because investors have differing degrees of capital gains preference. This implies that marginal tax rates which are relevant for bond pricing may differ across coupon levels. This study derives a new equilibrium pricing model for default-free bonds under differential taxation of coupon income and capital gains, which explicitly considers coupon-induced tax clienteles. It is shown that all previous pricing equations are special cases of the model developed here.;This research also analyzes the tax effect on term premiums and the term structure of interest rates. An important finding is that forward rates are systematically downward biased estimates of expected future spot rates even in the absence of liquidity premiums. It is thus argued that term premiums are comprised of differential taxation compensations as well as liquidity premiums. Moreover, the magnitudes of the differential taxation effects on term premiums are monotonically increasing. Considering these tax effects, this study develops tax-adjusted expectations hypotheses of the term structure, which provide a better explanation regarding term premiums and the term structure. In particular, the anomaly of negative term premiums which has been documented in long maturity bonds is resolved.;Furthermore, this research shows that in a world with coupon-induced tax clientele effects, bond prices are a convex function of their coupon levels. In addition, the existence of coupon-induced tax clienteles appears to be consistent with market equilibrium. As well as presenting indirect evidence, this study provides direct evidence on the coupon-induced tax clientele effect by inspecting the equality of marginal tax rates estimated across different coupon levels employing the model derived herein. The results are also generally consistent with the traditional hypothesis regarding the direction of clienteles that implied tax rates are inversely related to coupon levels.
机译：在对利息收入和资本收益进行区别征税的情况下，由于投资者对资本收益的偏好程度不同，不同的个人税率可能会导致根据优惠券水平形成税收客户群。这意味着与债券定价相关的边际税率可能在票面利率水平上有所不同。这项研究推导了在票息收入和资本收益的不同税率下无违约债券的新均衡定价模型，该模型明确考虑了票息诱导的税收客户。结果表明，所有以前的定价方程都是此处开发的模型的特例。本研究还分析了税收对期限溢价和利率期限结构的影响。一个重要发现是，即使在没有流动性溢价的情况下，远期汇率仍是对系统预期未来即期汇率的系统下调估计。因此，有争议的是，定期保费由差别税收补偿以及流动性保费组成。此外，差别税收对定期保费的影响的幅度单调增加。考虑到这些税收影响，本研究提出了对期限结构进行税收调整的预期假设，这为期限溢价和期限结构提供了更好的解释。特别是，解决了长期债券中出现的负期限溢价的异常现象。此外，这项研究表明，在存在票面利率引起的税收客户效应的世界中，债券价格是其票面利率水平的凸函数。此外，票息诱导的税收客户群的存在似乎与市场均衡相一致。除了提供间接证据外，本研究还通过检查使用本文得出的模型在不同票息水平上估算的边际税率的相等性，提供了有关票息诱发的税收客户效应的直接证据。该结果通常也与关于客户方向的传统假设一致，即隐含税率与票息水平成反比。

著录项

  • 作者

    KIM, SEOKCHIN.;

  • 作者单位

    Georgia State University.;

  • 授予单位 Georgia State University.;
  • 学科 Finance.
  • 学位 Ph.D.
  • 年度 1987
  • 页码 193 p.
  • 总页数 193
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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