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Risk, returns, and values in the presence of differential taxation

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  • Benninga, Simon
  • Sarig, Oded

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  • Benninga, Simon & Sarig, Oded, 2003. "Risk, returns, and values in the presence of differential taxation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1123-1138, June.
    • Handle: RePEc:eee:jbfina:v:27:y:2003:i:6:p:1123-1138
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    References listed on IDEAS

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    2. Singer, Ronald F, 1979. "Endogenous Marginal Income Tax Rates, Investor Behavior and the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 34(3), pages 609-616, June.
    3. Talmor, Eli, 1989. "Tax arbitrage restrictions and financial leverage clienteles," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 831-838, December.
    4. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
    5. Kaplan, Steven N & Ruback, Richard S, 1995. "The Valuation of Cash Flow Forecasts: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 50(4), pages 1059-1093, September.
    6. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
    7. Long, John B., 1977. "Efficient portfolio choice with differential taxation of dividends and capital gains," Journal of Financial Economics, Elsevier, vol. 5(1), pages 25-53, August.
    8. Beja, Avraham, 1972. "On Systematic and Unsystematic Components of Financial Risk," Journal of Finance, American Finance Association, vol. 27(1), pages 37-45, March.
    9. Elton, Edwin J. & Gruber, Martin J., 1978. "Taxes and portfolio composition," Journal of Financial Economics, Elsevier, vol. 6(4), pages 399-410, December.
    10. Ruback, Richard S., 1986. "Calculating the market value of riskless cash flows," Journal of Financial Economics, Elsevier, vol. 15(3), pages 323-339, March.
    11. Gordon, Roger H. & Varian, Hal R., 1989. "Taxation of asset income in the presence of a world securities market," Journal of International Economics, Elsevier, vol. 26(3-4), pages 205-226, May.
    12. Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 24(1), pages 13-31, March.
    13. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
    14. Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, vol. 1(4), pages 337-352, December.
    15. Dammon, Robert M & Green, Richard C, 1987. "Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, vol. 42(5), pages 1143-1166, December.
    16. Robert A. Taggart & Jr., 1991. "Consistent valuation and Cost of Capital Expressions With Corporate and Personal Taxes," Financial Management, Financial Management Association, vol. 20(3), Fall.
    17. DeAngelo, Harry & Masulis, Ronald W., 1980. "Optimal capital structure under corporate and personal taxation," Journal of Financial Economics, Elsevier, vol. 8(1), pages 3-29, March.
    18. Gordon A. Sick, 1990. "Tax-Adjusted Discount Rates," Management Science, INFORMS, vol. 36(12), pages 1432-1450, December.
    19. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May.
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    Cited by:

    1. Rainer Niemann & Mariana Sailer, 2023. "Is analytical tax research alive and kicking? Insights from 2000 until 2022," Journal of Business Economics, Springer, vol. 93(6), pages 1149-1212, August.
    2. Ian A. Cooper & Kjell G. Nyborg, 2008. "Tax‐Adjusted Discount Rates with Investor Taxes and Risky Debt," Financial Management, Financial Management Association International, vol. 37(2), pages 365-379, June.
    3. Lund, Diderik, 2006. "Taxation and systematic risk under decreasing returns to scale," Working Papers 02-2003, Copenhagen Business School, Department of Economics.
    4. Abudy, Menachem & Benninga, Simon & Shust, Efrat, 2016. "The cost of equity for private firms," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 431-443.
    5. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
    6. Lund, Diderik, 2009. "Marginal versus Average Beta of Equity under Corporate Taxation," Memorandum 12/2009, Oslo University, Department of Economics.
    7. Marko Krause & Alexander Lahmann, 2022. "Differential taxation and security market lines–a clarification," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 171-203, July.
    8. Lund, Diderik, 2005. "An analytical model of required returns to equity under taxation with imperfect loss offset," Memorandum 13/2005, Oslo University, Department of Economics.
    9. Habib, Michel & Brealey, Richard & Cooper, Ian, 2018. "Valuation in the Public and Private Sectors: Tax, Risk, Debt Capacity, and the Cost of Capital," CEPR Discussion Papers 13277, C.E.P.R. Discussion Papers.

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