Das Standardmodell unter Unsicherheit ist ökonomisch unsinnig
If one wants to evaluate the impact of an income tax on the value of a project or a firm the so called standard model of Johannson is usually applied. One important feature of this model is that the cost of capital are multiplied by a factor (1-s) where s is the income tax rate (assumed to be constant and deterministic). In this paper this Johannson model is considered in an uncertain world modelled by a simple binomial process. It is then shown that with appropriate parameters of this binomial model an arbitrage opportunity can be created: hence, the above mentioned relation between cost of capital before and after taxes cannot hold. Then an alternative approach for incorporating an income tax into the NPV calculus is discussed. Using this alternative it is shown that for example in the case of a perpetual rent an increase of the income tax rate leads to a lower value of the firm (compared the a constant or higher value in the Johannson model).
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- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
- Back, Kerry & Pliska, Stanley R., 1991. "On the fundamental theorem of asset pricing with an infinite state space," Journal of Mathematical Economics, Elsevier, vol. 20(1), pages 1-18.
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