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

Research output: Working paperResearch

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Abstract

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
Number2002-1
ISSN0903-0352

Keywords

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

Cite this

Astrup Jensen, B. (2002). On Valuation Before and After Tax in No Arbitrage Models: Tax Neutrality in the Discrete Time Model. Frederiksberg: Institut for Finansiering, Copenhagen Business School. Working Papers / Department of Finance. Copenhagen Business School, No. 2002-1
Astrup Jensen, Bjarne. / On Valuation Before and After Tax in No Arbitrage Models : Tax Neutrality in the Discrete Time Model. Frederiksberg : Institut for Finansiering, Copenhagen Business School, 2002. (Working Papers / Department of Finance. Copenhagen Business School; No. 2002-1).
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Astrup Jensen, B 2002 'On Valuation Before and After Tax in No Arbitrage Models: Tax Neutrality in the Discrete Time Model' Institut for Finansiering, Copenhagen Business School, Frederiksberg.

On Valuation Before and After Tax in No Arbitrage Models : Tax Neutrality in the Discrete Time Model. / Astrup Jensen, Bjarne.

Frederiksberg : Institut for Finansiering, Copenhagen Business School, 2002.

Research output: Working paperResearch

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KW - Generalized linear taxation schemes

KW - Wash sales

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Astrup Jensen B. On Valuation Before and After Tax in No Arbitrage Models: Tax Neutrality in the Discrete Time Model. Frederiksberg: Institut for Finansiering, Copenhagen Business School. 2002.