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List of Figures
Taxes and the Pricing of Short Term Treasury Securities
List of Tables
4 other sections not shown
12 month bill after-tax amortization arbitrage relations ask premium ask spread asset auction week autocorrelation average basis points bias bid and ask bid quotes bid-ask spread bond and bill bond and matching bond price bond's bonds selling cash flows computed Constantinides coupon rate covariance matrix deep discount bonds direct tax effect discount bonds equilibrium estimates exempt investors Fed data Financial Economics frequency of violations fully taxable investors heteroskedasticity holding period inventory Journal of Financial liquidity magnitude marginal investor matching bill portfolio month bills maturing months to maturity negative optimal ordinary income post 1978 period post-78 period pre-78 period preferred investors premium bonds price difference primary dealers prior regressions reported in parenthesis repos Sal data Salomon significant statistic subperiod subsamples tax options tax rate tax timing options trading transaction costs Treasury bills Treasury securities violations of relation week to maturity yield difference yield to maturity