Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads
用结构模型研究个人税对债务和股权回报的影响，发现个人税影响公司最优资本结构，税收溢价解释了公司债券利差的很大一部分，尤其对高等级债券。
Term structure models have often been criticized for failing to explain satisfactorily the yield spread between corporate and Treasury bonds. A potential problem is that the personal tax effect is ignored in these models. In this paper, we employ a structural model to investigate the role of personal taxes on both debt and equity returns in capital structure decisions and assess their impact on corporate bond yield spreads. It is shown that personal taxes affect the firm’s optimal capital structure, and the tax premium explains a substantial portion of yield spreads, especially for high-grade bonds. The predictive ability of the model for yield spreads is much improved when personal tax effects are accounted for. In controlling for the liquidity effect, we obtain implied personal income tax rates closely in line with Graham’s (1999) estimates.