Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds
利用美国市政债券市场数据，研究发现税收政策导致的投资者分割限制了风险分担，使得高税收优惠州的市政债券收益率对供给和地方特有风险更敏感。
Abstract We evaluate the impacts of tax policy on asset returns using the U.S. municipal bond market. In theory, tax-induced ownership segmentation limits risk sharing, creating downward-sloping regions of the aggregate demand curve for the asset. In the data, cross-state variation in tax privilege policies predicts differences in in-state ownership of local municipal bonds; the policies create incentives for concentrated local ownership. High tax privilege states have muni bond yields that are more sensitive to variations in supply and local idiosyncratic risk. The effects are stronger when local investors face correlated background risk and/or diminishing marginal nonpecuniary benefits from holding local assets.