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Evaluating the Taxation of Risky Assets

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Alan J. Auerbach

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Abstract

This paper explores the taxation of risky assets, both from the theoretical perspective of optimal taxation and from the practical one of measuring "the" tax rate on an asset when, as under existing practice, its stochastic returns are subject to differential tax treatment across states of nature. The results suggest that it may be "appropriate" for tax rates to vary systematically with the riskiness of an asset, but that use of the expected tax rate to evaluate the characteristics of any particular tax system may be very misleading.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0806.

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Date of creation: Nov 1981
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Handle: RePEc:nbr:nberwo:0806

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  1. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation, Yale University. [Downloadable!]
  2. Atkinson, Anthony B & Stern, N H, 1974. "Pigou, Taxation and Public Goods," Review of Economic Studies, Blackwell Publishing, vol. 41(1), pages 119-28, January. [Downloadable!] (restricted)
  3. Mintz, Jack M, 1981. "Some Additional Results on Investment, Risk Taking, and Full Loss Offset Corporate Taxation with Interest Deductibility," The Quarterly Journal of Economics, MIT Press, vol. 96(4), pages 631-42, November. [Downloadable!] (restricted)
  4. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August. [Downloadable!] (restricted)
  5. Diamond, Peter A & Yaari, Menahem, 1972. "Implications of the Theory of Rationing for Consumer Choice Under Uncertainty," American Economic Review, American Economic Association, vol. 62(3), pages 333-43, June. [Downloadable!] (restricted)
  6. Gordon, Roger H, 1985. "Taxation of Corporate Capital Income: Tax Revenues versus Tax Distortions," The Quarterly Journal of Economics, MIT Press, vol. 100(1), pages 1-27, February.
  7. Sandmo, Agnar, 1974. "A Note on the Structure of Optimal Taxation," American Economic Review, American Economic Association, vol. 64(4), pages 701-06, September. [Downloadable!] (restricted)
  8. Fischer, Stanley, 1972. "Assets, Contingent Commodities, and the Slutsky Equations," Econometrica, Econometric Society, vol. 40(2), pages 371-85, March. [Downloadable!] (restricted)
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(explanations, 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. Joel Slemrod, 1982. "Tax Effects on the Allocation of Capital Among Sectors and Among Individuals: A Portfolio Approach," NBER Working Papers 0951, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Alan J. Auerbach, 1991. "Retrospective Capital Gains Taxation," NBER Working Papers 2792, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Raaj Sah & Kenji Wada, 2001. "Can Government Collect Resources Without Hurting Investors: Taxation of Returns From Assets," Working Papers 0127, Harris School of Public Policy Studies, University of Chicago. [Downloadable!]
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