On Valuation Before and After Tax in No Arbitrage Models: Tax Neutrality in the Discrete Time Model

Publikation: Working paperForskning

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Abstrakt

We establish necessary and sufficient conditions for a linear taxation system to be neutral - within the multi-period discrete time "no arbitrage" model - in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions.
OriginalsprogEngelsk
UdgivelsesstedFrederiksberg
UdgiverInstitut for Finansiering, Copenhagen Business School
Antal sider24
ISBN (Trykt)8790705580
StatusUdgivet - 2002
NavnWorking Papers / Department of Finance. Copenhagen Business School
Nummer2002-1
ISSN0903-0352

Emneord

  • Skatteteori
  • Asset pricing

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