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1998-02-14Buch DOI: 10.18452/3711
Tax Clientele Effects in the German Bond Market
dc.contributor.authorStehle, Richard
dc.contributor.authorJaschke, Stefan R.
dc.contributor.authorWernicke, S.
dc.date.accessioned2017-06-15T21:52:47Z
dc.date.available2017-06-15T21:52:47Z
dc.date.created2006-01-20
dc.date.issued1998-02-14
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4363
dc.description.abstractThis paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term structures, and the identification of representative investors. Regression and no-arbitrage approaches are unified. The empirical results presented have important implications for the estimation of the term structure from coupon bond prices and the valuation of interest rate derivatives.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectlinear programmingeng
dc.subjectduality theoryeng
dc.subjectterm structure of interest rateseng
dc.subjectsmoothing splineseng
dc.subjecttax clienteleeng
dc.subjectarbitrage boundseng
dc.subject.ddc330 Wirtschaft
dc.titleTax Clientele Effects in the German Bond Market
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10056454
dc.identifier.doihttp://dx.doi.org/10.18452/3711
dc.subject.dnb17 Wirtschaft
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year1998
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber1998,11

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