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

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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.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherInstitut for Finansiering, Copenhagen Business School
Number of pages24
ISBN (Print)8790705580
Publication statusPublished - 2002
SeriesWorking Papers / Department of Finance. Copenhagen Business School


  • Tax neutrality
  • Market-to-market valuation
  • Generalized linear taxation schemes
  • Wash sales

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