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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. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-93, April.
    2. Beja, Avraham, 1972. "On Systematic and Unsystematic Components of Financial Risk," Journal of Finance, American Finance Association, vol. 27(1), pages 37-45, March.
    3. George M. Constantinides, 1983. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," NBER Working Papers 1176, National Bureau of Economic Research, Inc.
    4. 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.
    5. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
    6. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
    7. Talmor, Eli, 1989. "Tax arbitrage restrictions and financial leverage clienteles," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 831-838, December.
    8. 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.
    9. 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.
    10. Black, Fischer, 1974. "International capital market equilibrium with investment barriers," Journal of Financial Economics, Elsevier, vol. 1(4), pages 337-352, December.
    11. Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 24(1), pages 13-31, March.
    12. Gordon A. Sick, 1990. "Tax-Adjusted Discount Rates," Management Science, INFORMS, vol. 36(12), pages 1432-1450, December.
    13. Elton, Edwin J. & Gruber, Martin J., 1978. "Taxes and portfolio composition," Journal of Financial Economics, Elsevier, vol. 6(4), pages 399-410, December.
    14. 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.
    15. 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.
    16. 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.
    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. 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.
    19. 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. 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.
    2. Cooper, Ian & Nyborg, Kjell G, 2008. "Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt," CEPR Discussion Papers 6646, C.E.P.R. Discussion Papers.
    3. Lund, Diderik, 2006. "Taxation and systematic risk under decreasing returns to scale," Working Papers 02-2003, Copenhagen Business School, Department of Economics.

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