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On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model

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Author Info
Jensen, Bjarne Astrup (Department of Finance, Copenhagen Business School)
Abstract

We establis necessary and sufficient conditions for a linear taxation system to be neutral - within the multi-period discrete time "no arbitrage" model - in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions.

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File URL: http://openarchive.cbs.dk/cbsweb/handle/10398/7153
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Publisher Info
Paper provided by Copenhagen Business School, Department of Finance in its series Working Papers with number 2002-1.

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Length: 26 pages
Date of creation: 06 Mar 2002
Date of revision:
Handle: RePEc:hhs:cbsfin:2002_001

Contact details of provider:
Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark
Phone: +45 3815 3815
Email:
Web page: http://www.cbs.dk/departments/finance/
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Related research
Keywords: Tax neutrality; mark-to-market valuation; generalized linear taxation schemes; wash sales;

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General

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This page was last updated on 2009-10-18.

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