The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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DISCUSSION
Published: 05/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00675.x
Edwin J. Elton
CAPITAL RATIONING AND EXTERNAL DISCOUNT RATES*
Published: 06/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00523.x
Edwin J. Elton
DISCUSSION
Published: 05/01/1973 | DOI: 10.1111/j.1540-6261.1973.tb01779.x
Edwin J. Elton, K. Mantripragada
Tax and Liquidity Effects in Pricing Government Bonds
Published: 12/17/2002 | DOI: 10.1111/0022-1082.00064
Edwin J. Elton, T. Clifton Green
Daily data from interdealer government bond brokers are examined for tax and liquidity effects. We use two approaches to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for the presence of tax and liquidity effects by including a liquidity term when fitting a cubic spline to the after‐tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bonds with long maturities.
A Note from the Editors
Published: 09/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02309.x
Edwin J. Elton, Martin J. Gruber
The Structure of Spot Rates and Immunization
Published: 06/01/1990 | DOI: 10.1111/j.1540-6261.1990.tb03708.x
EDWIN J. ELTON, MARTIN J. GRUBER, RONI MICHAELY
Empirical studies of the modern theories of bond pricing typically choose proxies for the state variables in a rather arbitrary fashion. This paper empirically analyzes the question of the optimal spot rates to use as state variables. Our findings indicate that the four‐year spot rate serves as the best proxy in the one‐state‐variable model. In the case of the two‐state‐variables model, the six‐year rate and eight‐month rate are identified as best. Tests of the out‐of‐sample prediction ability indicate that our model is superior to Macaulay's duration model and alternative proxies for state variables.