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Arbitrage and Martingales with Taxation

Citations

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Cited by:

  1. Benninga, Simon & Sarig, Oded, 2003. "Risk, returns, and values in the presence of differential taxation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1123-1138, June.
  2. Chambers, Robert G. & Quiggin, John, 2009. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 730-737, December.
  3. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
  4. Frank Strobel, 2005. "International tax arbitrage, financial parity conditions and preferential capital gains taxation," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 219-226.
  5. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
  6. repec:dau:papers:123456789/5593 is not listed on IDEAS
  7. Norman Schurhoff, 2004. "Capital gains taxes, irreversible investment, and capital structure," 2004 Meeting Papers 592b, Society for Economic Dynamics.
  8. Basak, Suleyman & Croitoru, Benjamin, 2001. "Non-linear taxation, tax-arbitrage and equilibrium asset prices," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 347-382, April.
  9. Chambers, Robert G. & Quiggin, John C., 2002. "Resource Allocation And Asset Pricing," Working Papers 28571, University of Maryland, Department of Agricultural and Resource Economics.
  10. Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, vol. 1(2), pages 133-149, August.
  11. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  12. Strobel, Frank, 2012. "International tax arbitrage and residence vs. source-based capital income taxation," Research in Economics, Elsevier, vol. 66(4), pages 391-397.
  13. Christoph Kuhn, 2018. "How local in time is the no-arbitrage property under capital gains taxes ?," Papers 1802.06386, arXiv.org, revised Sep 2018.
  14. Schindler, Dirk, 2002. "Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern," CoFE Discussion Papers 02/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
  15. Lorenzo Bastianello & Alain Chateauneuf & Bernard Cornet, 2022. "Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules," Papers 2203.16292, arXiv.org.
  16. Ioulia D. Ioffe & Eliezer Z. Prisman, 2003. "Term Structure of Interest Rates and Implied Market Frictions: The Min--Max Approach," Management Science, INFORMS, vol. 49(7), pages 965-978, July.
  17. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 275-292, July.
  18. Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January.
  19. Kallio, Markku & Ziemba, William T., 2007. "Using Tucker's theorem of the alternative to simplify, review and expand discrete arbitrage theory," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2281-2302, August.
  20. Freebairn, John W. & Quiggin, John C., 2006. "Water rights for variable supplies," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 50(3), pages 1-18.
  21. Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2015. "Put–Call Parity and market frictions," Journal of Economic Theory, Elsevier, vol. 157(C), pages 730-762.
  22. Chambers, Robert G. & Quiggin, John, 2008. "Narrowing the no-arbitrage bounds," Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
  23. repec:dau:papers:123456789/5603 is not listed on IDEAS
  24. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
  25. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
  26. 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.
  27. Schosser, Josef, 2008. "Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 13, University of Passau, Faculty of Business and Economics.
  28. Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
  29. Strobel, Frank, 2001. "International tax arbitrage, tax evasion and interest parity conditions," Research in Economics, Elsevier, vol. 55(4), pages 413-427, December.
  30. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
  31. Andrea Gamba & Gordon A. Sick & Carmen Aranda León, 2008. "Investment under Uncertainty, Debt and Taxes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 31-58, February.
  32. Xiaotie Deng & Zhong Li & Shouyang Wang & Hailiang Yang, 2005. "Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions," Annals of Operations Research, Springer, vol. 133(1), pages 265-276, January.
  33. Emy Lécuyer & Victor Filipe Martins da Rocha, 2022. "Convex Asset Pricing," Working Papers hal-03916844, HAL.
  34. Alain Chateauneuf & Bernard Cornet, 2022. "Submodular financial markets with frictions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(2), pages 721-744, April.
  35. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
  36. Julian Alworth, 1998. "Taxation and Integrated Financial Markets: The Challenges of Derivatives and Other Financial Innovations," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 5(4), pages 507-534, October.
  37. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.
  38. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
  39. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
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