Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?
研究发现州发行免税市政债券的价格中存在显著的便利溢价，这种溢价与税收和财政不确定性、州市政债券基金资金流入、高税州向低税州的人口迁出以及税收规避行为相关，表明投资者愿意为避税支付高额溢价。
Abstract We study the valuation of state-issued tax-exempt municipal bonds and find that there are significant convenience premia in their prices. These premia parallel those identified in Treasury markets. We find evidence that these premia are tax related. Specifically, the premia are related to measures of tax and fiscal uncertainty, forecast flows into state municipal bond funds, and are directly linked to outmigration from high-tax to low-tax states and to other measures of tax aversion such as IRA and retirement plan contributions. These results suggest that investors are willing to pay a substantial premium to avoid taxes.