Creating a synthetic after-tax zero-coupon bond using US Treasury STRIP bonds: implications for the true after-tax spot rate

Autor:	Phillip R. Daves, Michael C. Ehrhardt
Rok vydání:	2011
Předmět:	Economics and Econometrics Zero-coupon bond Spot contract Financial economics Yield (finance) Bond Economics Econometrics Portfolio Cash flow Finance Term (time) Treasury
Zdroj:	Applied Financial Economics. 21:695-705
ISSN:	1466-4305 0960-3107
DOI:	10.1080/09603107.2010.535789
Popis:	For an individual or company that is subject to taxes, we develop a method that uses laddered Separate Trading of Registered Interest and Principal (STRIP) bonds to determine the value (and composition) of a portfolio that replicates a risk-free after-tax cash flow that will occur on a single future date. In contrast to previous approaches, our method does not require rebalancing or short sales. In addition, we show that the standard after-tax risk-free spot rate, defined as the after-tax yield on a US Treasury STRIP bond, is correct only for a flat-term structure. Using our method, we provide a true measure of the after-tax risk-free spot rate that applies to any term structure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::78f44a21569e497e16ebc9de484d2184 https://doi.org/10.1080/09603107.2010.535789 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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