Tax Arbitrage with Risk and Effort Aversion Swedish Lottery Bonds 1970-1990

Rydqvist, Kristian

doi:10.2139/ssrn.1833604

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Tax Arbitrage with Risk and Effort Aversion Swedish Lottery Bonds 1970-1990

International Conference of the French Finance Association (AFFI), May 11-13, 2011

32 Pages Posted: 9 May 2011

See all articles by Kristian Rydqvist

Kristian Rydqvist

State University of New York at Binghamton - School of Management; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

There are 3 versions of this paper

Date Written: May 1, 2011

Abstract

Swedish lottery bonds are valuable tax shelters before the tax reform of 1991. By trading around the coupon lottery, taxable gains and losses are netted across investors in the stock market. However, 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 e®ect, rationing, underpricing

JEL Classification: G12, G18

Suggested Citation: Suggested Citation

Rydqvist, Kristian, Tax Arbitrage with Risk and Effort Aversion Swedish Lottery Bonds 1970-1990 (May 1, 2011). International Conference of the French Finance Association (AFFI), May 11-13, 2011, Available at SSRN: https://ssrn.com/abstract=1833604 or http://dx.doi.org/10.2139/ssrn.1833604