Journal of Finance Vol. 39 No. 2 1984
Tax Effects in Term Structure Estimation
Abstract
This study is a refinement and an extension of an earlier study by McCulloch of tax effects in the regression equation for term structure estimation. This study includes tests for tax effects and heteroskedasticity, a reconsideration of the need for an instrumental variable, and a search for the capital gains tax rate in addition to the ordinary‐income tax rate. There are two major findings: (1) statistically significant tax‐induced bias in the non‐tax‐adjusted equation and (2) evidence that the capital gains tax is misspecified in the tax‐adjusted equation.
- DOI
- 10.1111/j.1540-6261.1984.tb02316.x
- Volume
- 39
- Issue
- 2
- Pages
- 393-406
- Language
- en
- Sources
- crossref openalex