Tax-Induced Intertemporal Restrictions on Security Returns
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- Bossaerts, Peter & Dammon, Robert M, 1994. " Tax-Induced Intertemporal Restrictions on Security Returns," Journal of Finance, American Finance Association, vol. 49(4), pages 1347-1371, September.
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- Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
- Sialm, Clemens, 2006.
"Stochastic taxation and asset pricing in dynamic general equilibrium,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 30(3), pages 511-540, March.
- Clemens Sialm, 2002. "Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium," NBER Working Papers 9301, National Bureau of Economic Research, Inc.
- Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
- Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011.
"Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year,"
LSE Research Online Documents on Economics
43096, London School of Economics and Political Science, LSE Library.
- JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers dp671, Financial Markets Group.
- Paul Harrison & Harold Zhang, "undated".
"Cyclical Variation in the Risk and Return Relation,"
GSIA Working Papers
1997-27, Carnegie Mellon University, Tepper School of Business.
- Paul Harrison & Harold H. Zhang, "undated". "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics.
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