We examine the effects of liquidity, default and personal taxes on the relative yields of
Treasuries and municipals using a generalized model with liquidity risk. The municipal yield …

Existing term structure models of defaultable bonds have often underestimated corporate
bond spreads. A potential problem is that investors' taxes are ignored in these models. We …

This paper studies how participation exemption (PEX) tax rules for stocks owned by
companies, which are frequent in EU countries, introduce tax arbitrage opportunities. The …

US tax laws provide investors an incentive to time the sales of their bonds to minimize tax
liability. This grants a tax timing option that affects bond value. In reality, corporate bond …

Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen
Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen …

Current US tax laws provide investors an incentive to time the sales of their bonds to
minimize tax liability. This gives rise to a tax-timing option that affects bond value. In reality …

This paper studies the after‐tax valuation of convertible bonds in the light of Europe's
participation exemption (PEX) rules and International Financial Reporting Standards (IFRS) …

Der Credit Spread von Unternehmensanleihen lässt sich in Prämien für Kredit-, Spread-und
Liquiditätsrisiken zerlegen. Als risikofreier Referenzzinssatz wird dabei in der …

This paper proposes a dynamic pricing model for municipal bonds with the liquidity factor
and time-varying risk premiums. I estimate the parameters of the model using the Kalman …