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Non-linear taxation, tax-arbitrage and equilibrium asset prices

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Listed author(s):
  • Basak, Suleyman
  • Croitoru, Benjamin

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4068(00)00071-9
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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 35 (2001)
Issue (Month): 2 (April)
Pages: 347-382

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Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:347-382
Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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  1. Chris Jones & Frank Milne, 1992. "Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 189-196.
  2. Basak, Suleyman & Cuoco, Domenico, 1998. "An Equilibrium Model with Restricted Stock Market Participation," Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 309-341.
  3. Suleyman Basak & Michael Gallmeyer, 2003. "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, vol. 7(2), pages 121-159.
  4. Dybvig, Philip H & Ross, Stephen A, 1986. " Tax Clienteles and Asset Pricing," Journal of Finance, American Finance Association, vol. 41(3), pages 751-762, July.
  5. Basak, Suleyman & Croitoru, Benjamin, 2000. "Equilibrium Mispricing in a Capital Market with Portfolio Constraints," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 715-748.
  6. Paul A. Samuelson, 1964. "Tax Deductibility of Economic Depreciation to Insure Invariant Valuations," Journal of Political Economy, University of Chicago Press, vol. 72, pages 604-604.
  7. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
  8. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
  9. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
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Cited by:

  1. Basak, Suleyman & Pavlova, Anna, 2002. "A Dynamic Model with Import Quota Constraints," CEPR Discussion Papers 3414, C.E.P.R. Discussion Papers.
  2. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
  3. Dirk Schindler, 2002. "Besteuerung des Nichts — Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern," CoFE Discussion Paper 02-16, Center of Finance and Econometrics, University of Konstanz.
  4. 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.

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