Banks, Firms and the Relative Pricing of Tax-Exempt and Taxable Bonds

Article Abstract:

The pricing of taxable and tax-exempt bonds is compared. The banking systems ability to arbitrage across two bond markets influences the size of short-term tax-exempt yields. Yield ratios do not infer marginal tax brackets. The choice of financing produces an equilibrium on bond pricing.

Prices and rates, Investments, Comparative analysis, Bonds, Bonds (Securities)

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Arbitrage Pricing with Information

Article Abstract:

The Arbitrage Pricing Theory is extended to consider investors who possess information about future returns. Time-series based tests are justified. The Arbitrage Pricing Theory also holds when information is heterogeneous. A no arbitrage pricing restriction holds.

Evaluation, Arbitrage

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The relative pricing of US Treasury STRIPS: empirical evidence

Article Abstract:

Research is presented describing the systems used to allocate prices for US government Separate Trading of Registered Interest and Principal of Securities (STRIPS).

Research, Securities industry, Government securities

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