The issuer effect on default risk insured municipal bond yields

C. Steven Cole; Pu Liu; Stanley D. Smith

doi:10.1007/bf02920491

The issuer effect on default risk insured municipal bond yields

Journal of Economics and Finance ◽

10.1007/bf02920491 ◽

1994 ◽

Vol 18 (3) ◽

pp. 331-342 ◽

Cited By ~ 2

Author(s):

C. Steven Cole ◽

Pu Liu ◽

Stanley D. Smith

Keyword(s):

Default Risk ◽

Municipal Bond ◽

Bond Yields

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Sea Level Rise and Municipal Bond Yields

SSRN Electronic Journal ◽

10.2139/ssrn.3478364 ◽

2019 ◽

Cited By ~ 4

Author(s):

Paul S. Goldsmith-Pinkham ◽

Matthew Gustafson ◽

Ryan Lewis ◽

Michael Schwert

Keyword(s):

Sea Level Rise ◽

Sea Level ◽

Municipal Bond ◽

Bond Yields

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A CERTAINTY EQUIVALENT APPROACH TO MUNICIPAL BOND DEFAULT RISK ESTIMATION

The Journal of Financial Research ◽

10.1111/j.1475-6803.1991.tb00661.x ◽

1991 ◽

Vol 14 (3) ◽

pp. 241-247 ◽

Cited By ~ 15

Author(s):

Chunchi Wu

Keyword(s):

Default Risk ◽

Risk Estimation ◽

Certainty Equivalent ◽

Municipal Bond

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Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds

Review of Financial Studies ◽

10.1093/rfs/hhaa028 ◽

2020 ◽

Vol 34 (1) ◽

pp. 509-568 ◽

Cited By ~ 1

Author(s):

Tania Babina ◽

Chotibhak Jotikasthira ◽

Christian Lundblad ◽

Tarun Ramadorai

Keyword(s):

Risk Sharing ◽

Demand Curve ◽

Aggregate Demand ◽

Asset Returns ◽

Idiosyncratic Risk ◽

State Ownership ◽

Municipal Bonds ◽

Municipal Bond ◽

Bond Yields ◽

State Variation

Abstract We evaluate the impacts of tax policy on asset returns using the U.S. municipal bond market. In theory, tax-induced ownership segmentation limits risk sharing, creating downward-sloping regions of the aggregate demand curve for the asset. In the data, cross-state variation in tax privilege policies predicts differences in in-state ownership of local municipal bonds; the policies create incentives for concentrated local ownership. High tax privilege states have muni bond yields that are more sensitive to variations in supply and local idiosyncratic risk. The effects are stronger when local investors face correlated background risk and/or diminishing marginal nonpecuniary benefits from holding local assets.

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