主題：Heterogeneous Taxes
and Limited Risk Sharing: Evidence from Municipal Bonds（異構稅收和有限風險共擔：從市政債券得到的啟示）
主講人：Christian T. Lundblad，北卡羅來納州大學教堂山分校凱南-弗拉格勒商學院金融學教授
日期：2017年10月11日（周三）
時間：上午10:00-11:30
地點：清華Betvictor中文版4号樓101教室
語言：英文
摘要：
Heterogeneity
in the taxation of asset returns can create ownership clienteles. Using a simple
model, we demonstrate that an important consequence of tax-induced ownership segmentation
is to limit risk-sharing, creating regions of the aggregate demand curve for
the asset that are ?downward-sloping.? As a result, the constraints of the
ownership clientele impact the asset price response to variations in asset
supply, and make the asset’s price more sensitive to movements in idiosyncratic
risk. We test these predictions on U.S. municipal bonds, where cross-state
variation in state tax privilege results in different levels of in-state
ownership. In states with high tax-induced ownership segmentation, we find
greater susceptibility of municipal bond yields to supply variation and
heightened sensitivity of muni yields to local political uncertainty.
主講人簡介:
Christian
Lundblad is the Edward M. O'Herron Distinguished Scholar and Professor of
Finance and the Associate Dean of the Ph.D. Program at the University of North
Carolina's Kenan-Flagler Business School. He is also the Director of Research at the Kenan Institute of Private
Enterprise and the Director of the Center for Excellence in Investment
Management. His research spans asset pricing, investment management, and
international finance, with a specialization in emerging market development.
His research has been published in top academic journals such as the Journal of Finance, the Review of Financial
Studies, and the Journal of Financial
Economics. He served as an Associate
Editor for the Journal of Finance,
and now serves at the Journal of Banking
and Finance and Financial Management.
He
received a PhD in financial economics and a master’s degree in economics from
Duke University. He earned his BA in economics and English literature with
highest honors from Washington University in St. Louis.
