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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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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 6 (June)
    Pages: 1123-1138

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    Handle: RePEc:eee:jbfina:v:27:y:2003:i:6:p:1123-1138

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    1. Ruback, Richard S., 1986. "Calculating the market value of riskless cash flows," Journal of Financial Economics, Elsevier, Elsevier, vol. 15(3), pages 323-339, March.
    2. Kaplan, Steven N & Ruback, Richard S, 1995. " The Valuation of Cash Flow Forecasts: An Empirical Analysis," Journal of Finance, American Finance Association, American Finance Association, vol. 50(4), pages 1059-93, September.
    3. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(1), pages 65-89, March.
    4. Beja, Avraham, 1972. "On Systematic and Unsystematic Components of Financial Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 27(1), pages 37-45, March.
    5. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, American Finance Association, vol. 32(2), pages 261-75, May.
    6. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 95(2), pages 371-93, April.
    7. Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, American Finance Association, vol. 24(1), pages 13-31, March.
    8. Dammon, Robert M & Green, Richard C, 1987. " Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, American Finance Association, vol. 42(5), pages 1143-66, December.
    9. Robert A. Taggart & Jr., 1991. "Consistent valuation and Cost of Capital Expressions With Corporate and Personal Taxes," Financial Management, Financial Management Association, Financial Management Association, vol. 20(3), Fall.
    10. 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.
    11. Long, John B., 1977. "Efficient portfolio choice with differential taxation of dividends and capital gains," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(1), pages 25-53, August.
    12. Elton, Edwin J. & Gruber, Martin J., 1978. "Taxes and portfolio composition," Journal of Financial Economics, Elsevier, Elsevier, vol. 6(4), pages 399-410, December.
    13. Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(4), pages 337-352, December.
    14. Dammon, Robert M & Spatt, Chester S, 1996. "The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(3), pages 921-52.
    15. Gordon A. Sick, 1990. "Tax-Adjusted Discount Rates," Management Science, INFORMS, INFORMS, vol. 36(12), pages 1432-1450, December.
    16. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, Econometric Society, vol. 51(3), pages 611-36, May.
    17. Talmor, Eli, 1989. "Tax arbitrage restrictions and financial leverage clienteles," Journal of Banking & Finance, Elsevier, Elsevier, vol. 13(6), pages 831-838, December.
    18. DeAngelo, Harry & Masulis, Ronald W., 1980. "Optimal capital structure under corporate and personal taxation," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 3-29, March.
    19. Singer, Ronald F, 1979. "Endogenous Marginal Income Tax Rates, Investor Behavior and the Capital Asset Pricing Model," Journal of Finance, American Finance Association, American Finance Association, vol. 34(3), pages 609-16, June.
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    Cited by:
    1. Lund, Diderik, 2006. "Taxation and systematic risk under decreasing returns to scale," Working Papers 02-2003, Copenhagen Business School, Department of Economics.
    2. Cooper, Ian A. & Nyborg, Kjell G., 2005. "Tax-adjusted discount rates with investor taxes and risky debt," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2005/15, Department of Business and Management Science, Norwegian School of Economics, revised 20 Sep 2007.
    3. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(3), pages 573-577, March.

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