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Retrospective Capital Gains Taxation in a Dynamic Stochastic World

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  • Francesco Menoncin
  • Paolo M. Panteghini

Abstract

We analyze Auerbach´s (1991) proposal of a retrospective capital gains tax, which is equivalent to an accrual tax on an ex ante basis. Using a continuous-time model with stochastic interest rates and serially correlated asset returns, we prove that such an equivalence still holds. This means that in a more realistic setting the realization-based system requires no ad hoc adjustment for equivalence to hold.

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Bibliographic Info

Article provided by Mohr Siebeck, Tübingen in its journal FinanzArchiv.

Volume (Year): 66 (2010)
Issue (Month): 3 (September)
Pages: 236-242

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Handle: RePEc:mhr:finarc:urn:sici:0015-2218(201009)66:3_236:rcgtia_2.0.tx_2-g

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Keywords: capital gains; risk; taxation;

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