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

Kristian Rydqvist ()
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Kristian Rydqvist: Binghamton University, Postal: State University of New York, PO BOX 6000, Binghamton, NY 13902-6000, USA

No 70, SIFR Research Report Series from Institute for Financial Research

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 (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2010-04-15
New Economics Papers: this item is included in nep-acc and nep-upt
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