Tax Arbitrage with Risk and Effort Aversion Swedish Lottery Bonds 1970-1990
32 Pages Posted: 9 May 2011
There are 3 versions of this paper
Tax Arbitrage with Risk and Effort Aversion Swedish Lottery Bonds 1970-1990
Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990
Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990
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
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