Taxes and the Futures-Forward Price Difference in the 91-Day T-Bill Market
用税收解释91天国库券的期货与现货价格差异，区分资本利得与普通利得，以及不同投资者类型，实证结果在1981年后较模糊，表明税收之外还有其他因素。
This paper investigates a tax-based explanation for the futures-forward price divergence in the ninety-one-day T-bill. The explanation is, firstly, in terms of the distinction between capital gains and losses and ordinary gains and losses; and, secondly, in terms of investors to whom the above distinction applies and investors, such as broker/dealers, to whom it does not. The empirical results are encouraging, though more ambiguous, in the post-1981 period. Overall, it would seem that other factors, in addition to taxes, are also at work. Copyright 1989 by Ohio State University Press.