Taxes on Tax-Exempt Bonds

We thank Mark McCray, Aron Gereben, Rick Green, Cam Harvey, Gur Huberman, Dan Li, Bob McDonald, Jeffrey Pontiff, and Andrew Schmidt for helpful discussions. We are especially grateful to Jeff Strnad for providing detailed comments. The paper has benefited from truly excellent comments from an anonymous referee and the editor. We thank seminar participants at the High Frequency Data and Bond Markets Conference at the University of Cambridge, the Western Finance Association, Brigham Young University, Columbia University, European Central Bank, Fordham University, Georgia State University, Ohio State University, Rutgers University, Shanghai JiaoTong University, UC Irvine, and UC San Diego. We also thank Philippe Mueller for tabulating some of the data and Jihong Zang for checking some law sources. An appendix containing further results is available from http://www.columbia.edu/~aa610. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

• data appendix