Taxes on Tax‐Exempt Bonds
研究发现市政债券的隐含税率是法定所得税率的两到三倍，零售交易中接近100%，经销商间交易也超过70%，这种高敏感性源于个人零售交易者主导市场。
ABSTRACT Implicit tax rates priced in the cross section of municipal bonds are approximately two to three times as high as statutory income tax rates, with implicit tax rates close to 100% using retail trades and above 70% for interdealer trades. These implied tax rates can be identified because a portion of secondary market municipal bond trades involves income taxes. After valuing the tax payments, market discount bonds, which carry income tax liabilities, trade at yields around 25 basis points higher than comparable municipal bonds not subject to any taxes. The high sensitivities of municipal bond prices to tax rates can be traced to individual retail traders dominating dealers and other institutions.