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Berechnung von Nachsteuerrenditen für den deutschen Rentenmarkt auf Basis des REX und des REXP
Maier, Jürgen | Stehle, Richard
Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 125–145
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Jürgen Maier, Berlin
Richard Stehle, Berlin
References
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Abstract
Calculation of After-Tax Returns for the German Bond Market. Based on the REX and the REXP Indices
The REX price index and the REXP performance index are currently probably the most important indicators for the tendencies on the German bond market. The official REXP time series presumes a tax rate of 0% for interest income. The main objective of this paper is to adjust the REXP for the effects of taxation, assuming the perspective of German individual investors with alternative tax rates. This adjustment of the REXP for the effects of taxation is important for return comparisons between the stock indices calculated by Deutsche Börse AG and the REXP on the basis of a single tax rate. For this purpose a theoretically sound and usable method is developed. REXP index tracking and the attendant problems are dealt with as well. In the empirical part of the study after-tax REXP time series are calculated for two representative tax rates (36% and 56%). The results are compared to those of a simple ad-hoc adjustment. It turns out that our method of tax adjustment leads to an increase in precision which is important for many purposes.