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

JEL-codes: G12; G18

31 pages, April 15, 2010

Full text files

sifr-wp70.pdf PDF-file 

Download statistics

Questions (including download problems) about the papers in this series should be directed to Anki Helmer ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-01-23 23:37:50.