Tax and Liquidity Effects in Pricing Government Bonds
利用交易商间政府债券经纪商的日度数据，通过构建现金流匹配组合和税后收益率曲线样条拟合，发现税收时机期权和流动性效应存在，但影响远小于以往报告，且流动性效应主要源于长期限高交易量债券。
Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after‐tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bonds with long maturities.