Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves.
本文研究债券持有人采用最优交易策略而非简单持有或连续交易时，个人税如何影响债券价格、税级估计和收益率曲线，指出常见假设可能严重偏误。
Abstract The article presents information on the working paper, Optimal Bond Trading with Personal Taxes: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves, by George M. Constantinides and Jonathan E. Ingersoli Junior. This paper examines the assumption that bondholders follow either a buy-and-hold or a continuous trading policy rather than the optimal trading policy. The assumption is at variance with reality and may seriously bias the estimation of the yield curve and the implied tax bracket of the marginal investor. Several tax considerations govern a bondholder's optimal trading policy. They are realization of capital losses, deferment of the realization of capital gains, changing the holding period status from long-term to short-term by sale of the bond and repurchase and raising the basis through sale of the bond and repurchase in order to deduct the amortized premium from ordinary income.