Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 16th June 2024, 12:17:54pm EDT
Session Chair: Marco Grotteria, London Business School Discussant: Patrick Augustin, McGill University
Location:Room 501
Presentations
Do Municipal Bond Investors Pay a Convenience Premium to Avoid Taxes?
Matthias Fleckenstein1, Francis A. Longstaff2
1University of Delaware; 2UCLA Anderson School of Management and NBER
We study the valuation of state-issued tax-exempt municipal bonds and find that there are significant convenience premia in their prices. These premia parallel those identified in Treasury markets. We find evidence that these premia are tax related. Specifically, the premia are related to measures of tax and fiscal uncertainty, forecast flows into state municipal bond funds, and are directly linked to outmigration from high-tax to low-tax states and to other measures of tax aversion such as IRA and retirement plan contributions. These results suggest that investors are willing to pay a substantial premium to avoid