Taxes and the Futures-Forward Price Difference in the 91-Day T-Bill Market
This paper investigates a tax-based explanation for the futures-forward price divergence in the 91-day T-bill. The explanation is, firstly, in terms of the distinction between capital gains and losses and ordinary gains and losses, and secondly, in terms of investors to whom the above distinction ap...
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| Veröffentlicht in: | Journal of money, credit and banking credit and banking, 1989-05, Vol.21 (2), p.190-205 |
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| container_title | Journal of money, credit and banking |
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| creator | Viswanath, P. V. |
| description | This paper investigates a tax-based explanation for the futures-forward price divergence in the 91-day T-bill. The explanation is, firstly, in terms of the distinction between capital gains and losses and ordinary gains and losses, and secondly, in terms of investors to whom the above distinction applies and investors, such as broker/dealers, to whom it does not. The empirical results are encouraging though more ambiguous in the post-1981 period. Overall, it would seem that other factors, in addition to taxes, are also at work. (Printed by permission of the publisher.) |
| doi_str_mv | 10.2307/1992368 |
| format | Article |
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V.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c505t-6598e67980cba2415895a2b7aacc1ab4b8c1e3dbbd6e80aeb31cfc9e4c27b4113</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1989</creationdate><topic>Analysis</topic><topic>Capital gains tax</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Estimated taxes</topic><topic>Fiscal policy</topic><topic>Futures</topic><topic>Futures contracts</topic><topic>Futures markets</topic><topic>Hypotheses</topic><topic>Income taxes</topic><topic>Investors</topic><topic>Marginal pricing</topic><topic>Marginal tax rate</topic><topic>Market prices</topic><topic>Prices</topic><topic>Pricing</topic><topic>Statistical analysis</topic><topic>Stock prices</topic><topic>Tax rates</topic><topic>Tax research</topic><topic>Taxation</topic><topic>Taxes</topic><topic>Treasury bills</topic><topic>Treasury Bills Treasury Bonds Treasury Notes</topic><topic>Treasury securities</topic><topic>United States Treasury bills</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Viswanath, P. 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V.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Taxes and the Futures-Forward Price Difference in the 91-Day T-Bill Market</atitle><jtitle>Journal of money, credit and banking</jtitle><addtitle>Journal of Money, Credit & Banking</addtitle><date>1989-05-01</date><risdate>1989</risdate><volume>21</volume><issue>2</issue><spage>190</spage><epage>205</epage><pages>190-205</pages><issn>0022-2879</issn><eissn>1538-4616</eissn><coden>JMCBBT</coden><abstract>This paper investigates a tax-based explanation for the futures-forward price divergence in the 91-day T-bill. The explanation is, firstly, in terms of the distinction between capital gains and losses and ordinary gains and losses, and secondly, in terms of investors to whom the above distinction applies and investors, such as broker/dealers, to whom it does not. The empirical results are encouraging though more ambiguous in the post-1981 period. Overall, it would seem that other factors, in addition to taxes, are also at work. (Printed by permission of the publisher.)</abstract><cop>Columbus</cop><pub>Ohio State University Press</pub><doi>10.2307/1992368</doi><tpages>16</tpages></addata></record> |
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| ispartof | Journal of money, credit and banking, 1989-05, Vol.21 (2), p.190-205 |
| issn | 0022-2879 1538-4616 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_36931819 |
| source | Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | Analysis Capital gains tax Economic models Economic theory Estimated taxes Fiscal policy Futures Futures contracts Futures markets Hypotheses Income taxes Investors Marginal pricing Marginal tax rate Market prices Prices Pricing Statistical analysis Stock prices Tax rates Tax research Taxation Taxes Treasury bills Treasury Bills Treasury Bonds Treasury Notes Treasury securities United States Treasury bills |
| title | Taxes and the Futures-Forward Price Difference in the 91-Day T-Bill Market |
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