Municipal Debt and Marginal Tax Rates: Is There a Tax Premium in Asset Prices?

被引：29
|
作者：
Longstaff, Francis A. [1 ,2 ]
机构：
[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90024 USA
[2] NBER, Cambridge, MA 02138 USA
来源：
JOURNAL OF FINANCE | 2011年 / 66卷 / 03期
关键词：
TERM STRUCTURE; YIELD SPREADS; DEFAULT RISK; LIQUIDITY; MARKET; BONDS; INTERMEDIATION; DETERMINANTS; AFTERMARKET; VOLATILITY;
D O I：
10.1111/j.1540-6261.2011.01650.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study the marginal tax rate incorporated into short-term municipal rates using municipal swap market data. Using an affine model, we identify the marginal tax rate and the credit/liquidity spread in 1-week tax-exempt rates, as well as their associated risk premia. The marginal tax rate averages 38.0% and is related to stock, bond, and commodity returns. The tax risk premium is negative, consistent with the strong countercyclical nature of after-tax fixed-income cash flows. These results demonstrate that tax risk is a systematic asset pricing factor and help resolve the muni-bond puzzle.
引用
收藏
页码：721 / 751
页数：31
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