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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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    File URL: http://www.sciencedirect.com/science/article/B6VCY-45PTV07-5/2/2d48c7f2397ab4da8f0b78f8fe572367
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    Bibliographic Info

    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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    References

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    1. 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 1143-66, December.
    2. Roger H. Gordon & Hal R. Varian, 1986. "Taxation of Asset Income in the Presence of a World Securites Market," NBER Working Papers 1994, National Bureau of Economic Research, Inc.
    3. 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.
    4. Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 24(1), pages 13-31, March.
    5. 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.
    6. 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, vol. 9(3), pages 921-52.
    7. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-93, April.
    8. 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 1059-93, September.
    9. Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, vol. 1(4), pages 337-352, December.
    10. Gordon A. Sick, 1990. "Tax-Adjusted Discount Rates," Management Science, INFORMS, vol. 36(12), pages 1432-1450, December.
    11. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
    12. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
    13. 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 609-16, June.
    14. 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.
    15. Beja, Avraham, 1972. "On Systematic and Unsystematic Components of Financial Risk," Journal of Finance, American Finance Association, vol. 27(1), pages 37-45, March.
    16. Talmor, Eli, 1989. "Tax arbitrage restrictions and financial leverage clienteles," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 831-838, December.
    17. Elton, Edwin J. & Gruber, Martin J., 1978. "Taxes and portfolio composition," Journal of Financial Economics, Elsevier, vol. 6(4), pages 399-410, December.
    18. Ruback, Richard S., 1986. "Calculating the market value of riskless cash flows," Journal of Financial Economics, Elsevier, vol. 15(3), pages 323-339, March.
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    Cited by:
    1. Cooper, Ian A. & Nyborg, Kjell G., 2005. "Tax-adjusted discount rates with investor taxes and risky debt," Discussion Papers 2005/15, Department of Finance and Management Science, Norwegian School of Economics, revised 20 Sep 2007.
    2. Lund, Diderik, 2006. "Taxation and systematic risk under decreasing returns to scale," Working Papers 02-2003, Copenhagen Business School, Department of Economics.
    3. 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.

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