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Tax-Induced Intertemporal Restrictions on Security Returns

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Bossaerts, Peter
Dammon, Robert M.

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File URL: http://www.hss.caltech.edu/SSPapers/sswp763.pdf
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Paper provided by California Institute of Technology, Division of the Humanities and Social Sciences in its series Working Papers with number 763.

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Date of creation: May 1991
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Handle: RePEc:clt:sswopa:763

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Constantinides, George M & Scholes, Myron S, 1980. " Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing," Journal of Finance, American Finance Association, vol. 35(2), pages 439-49, May. [Downloadable!] (restricted)
  2. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-86, April. [Downloadable!] (restricted)
  3. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-65, April. [Downloadable!] (restricted)
  4. Dunn, Kenneth B. & Singleton, Kenneth J., 1986. "Modeling the term structure of interest rates under non-separable utility and durability of goods," Journal of Financial Economics, Elsevier, vol. 17(1), pages 27-55, September. [Downloadable!] (restricted)
  5. Miller, Merton H. & Scholes, Myron S., 1978. "Dividends and taxes," Journal of Financial Economics, Elsevier, vol. 6(4), pages 333-364, December. [Downloadable!] (restricted)
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  1. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics. [Downloadable!]
  2. Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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