Taxes and the Futures-Forward Price Difference in the 91-Day T-Bill Market

P V Viswanath

Journal of Money, Credit and Banking, 1989, vol. 21, issue 2, 190-205

Abstract: This paper investigates a tax-based explanation for the futures-forward price divergence in the ninety-one-day T-bill. The explanation is, firstly, in terms of the distinction between capital gains and losses and ordinary gains and losses; and, secondly, in terms of investors to whom the above distinction applies and investors, such as broker/dealers, to whom it does not. The empirical results are encouraging, though more ambiguous, in the post-1981 period. Overall, it would seem that other factors, in addition to taxes, are also at work. Copyright 1989 by Ohio State University Press.

Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-2879%2819890 ... 0.CO%3B2-Z&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:21:y:1989:i:2:p:190-205

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().