Scandinavian Working Papers in Economics
SIFR Research Report Series,
Institute for Financial Research
No 70: Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990
Kristian Rydqvist ()
Additional contact information
Kristian Rydqvist: Binghamton University, Postal: State University of New York, PO BOX 6000, Binghamton, NY 13902-6000, USA
Abstract: Swedish lottery bonds are valuable tax shelters before the tax reform of 1991. By trading around the coupon lottery, high-tax investors with capital gains from the stock market shift their tax liability to low-tax investors. The uncertainty of the coupon lottery and the effort of verifying the winning lottery bond numbers are a nuisance to tax traders. We investigate how the Treasury (issuer), market makers (banks), and lottery bond investors respond to those frictions.
Keywords: Tax arbitrage; Coupon lottery; Lottery number checking; Ex-dividend day; Turn-of-the-year effect; Rationing; Underpricing
31 pages, April 15, 2010
Full text files
sifr-wp70.pdf
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