Investitionsbereitschaft und zeitliche Indifferenz bei Realinvestitionen unter Unsicherheit und Steuern
We analyze the impact of taxation on the option to defer an investment decision and derive tax rates that do not influence the extent of postponement. Furthermore, we deduce from this option pricing framework a measure of an investor's disposition towards realizing an investment project under risk aversion. We show that capital gains taxation often reduces this disposition, whereas asymmetric tax treatment of profits and losses may compensate this effect at least partially. On this basis, we identify indifferent curves that describe different tax schedules providing constant disposition to invest. These curves enable a comparison of different tax rules and their impact on investment decisions without explicitly referring to the after-tax value of an investment project. Thereby, the decisionmaking process is simplified. Applying individual utility functions we finally analyze the influence of taxation on the investor's – decision and on utility-based decisions. We highlight the overwhelming importance of integrating taxes in typically applied valuation approaches.
|Date of creation:||2005|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.arqus.info/|
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.:
- Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk,"
Econometric Society, vol. 47(2), pages 263-91, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- James M. Poterba, 1989.
"Venture Capital and Capital Gains Taxation,"
in: Tax Policy and the Economy, Volume 3, pages 47-68
National Bureau of Economic Research, Inc.
- David F. Bradford, 1996. "Fixing Capital Gains: Symmetry, Consistency and Correctness in the Taxation of Financial Instruments," NBER Working Papers 5754, National Bureau of Economic Research, Inc.
- Alan J. Auerbach & James M. Poterba, 1986.
"Tax Loss Carryforwards and Corporate Tax Incentives,"
413, Massachusetts Institute of Technology (MIT), Department of Economics.
- Alan J. Auerbach & James M. Poterba, 1987. "Tax Loss Carryforwards and Corporate Tax Incentives," NBER Chapters, in: The Effects of Taxation on Capital Accumulation, pages 305-342 National Bureau of Economic Research, Inc.
- Alan J. Auerbach & James M. Poterba, 1986. "Tax Loss Carryforwards and Corporate Tax Incentives," NBER Working Papers 1863, National Bureau of Economic Research, Inc.
- Balcer, Yves, 1983. "The Taxation of Capital Gains: Samuelson's Fundamental Principle," Public Finance = Finances publiques, , vol. 38(1), pages 1-15.
- Alan J. Auerbach, 1983.
"The Dynamic Effects of Tax Law Asymmetries,"
NBER Working Papers
1152, National Bureau of Economic Research, Inc.
- Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
- Louis Kaplow & Steven Shavell, 1999.
"Economic Analysis of Law,"
NBER Working Papers
6960, National Bureau of Economic Research, Inc.
- Eeckhoudt, Louis & Gollier, Christian & Schlesinger, Harris, 1997.
"The no-loss offset provision and the attitude towards risk of a risk-neutral firm,"
Journal of Public Economics,
Elsevier, vol. 65(2), pages 207-217, August.
- Eeckhoudt, L. & Gollier, C. & Schlesinger, H., 1996. "The No Loss Offset Provision and the Attitude Towards Risk of a Risk-Neutral Firm," Papers 96.409, Toulouse - GREMAQ.
- Benjamin C. Ayers & Craig E. Lefanowicz & John R. Robinson, 2003. "Shareholder Taxes in Acquisition Premiums: The Effect of Capital Gains Taxation," Journal of Finance, American Finance Association, vol. 58(6), pages 2783-2801, December.
- Suleyman Basak & Michael Gallmeyer, .
"Capital Market Equilibrium with Differential Taxation,"
GSIA Working Papers
1999-E1, Carnegie Mellon University, Tepper School of Business.
- Süleyman Basak & Mike Gallmeyer, . "Capital Market Equilibrium with Differential Taxation," Rodney L. White Center for Financial Research Working Papers 12-98, Wharton School Rodney L. White Center for Financial Research.
- Jyh-Bang Jou, 2000. "Irreversible Investment Decisions Under Uncertainty with Tax Holidays," Public Finance Review, , vol. 28(1), pages 66-81, January.
- Klein, Peter, 2001. "The capital gain lock-in effect and long-horizon return reversal," Journal of Financial Economics, Elsevier, vol. 59(1), pages 33-62, January.
- Hjalmar Boehm & Michael Funke, 2000. "Optimal Investment Strategies under Demand and Tax Policy Uncertainty," CESifo Working Paper Series 311, CESifo Group Munich.
- Rainer Niemann & Caren Sureth, 2005. "Capital Budgeting with Taxes under Uncertainty and Irrevesibility," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(1), pages 77-95, January.
- Auerbach, A.J. & Hines, Jr.J.R., 1988.
"Investment Tax Incentives And Frequent Tax Reforms,"
135, Princeton, Woodrow Wilson School - Public and International Affairs.
- Auerbach, Alan J & Hines, James R, Jr, 1988. "Investment Tax Incentives and Frequent Tax Reforms," American Economic Review, American Economic Association, vol. 78(2), pages 211-16, May.
- Alan J. Auerbach & James R. Hines Jr., 1988. "Investment Tax Incentives and Frequent Tax Reforms," NBER Working Papers 2492, National Bureau of Economic Research, Inc.
- Lyon, Andrew B., 1990. "Investment Incentives under the Alternative Minimum Tax," National Tax Journal, National Tax Association, vol. 43(4), pages 451-65, December.
- Rainer Niemann, 1999. "Neutral Taxation under Uncertainty - a Real Options Approach," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 56(1), pages 51-66, March.
- Tarek M. Harchaoui & Pierre Lasserre, 1996. "Le choix de capacite comme l'exercice d'une option d'achat financiere. (Capacity Choice as the Exercise of a Financial Call Option. With English summary.)," Canadian Journal of Economics, Canadian Economics Association, vol. 29(2), pages 271-88, May.
- Alan J. Auerbach, 1988.
"Retrospective Capital Gains Taxation,"
NBER Working Papers
2792, National Bureau of Economic Research, Inc.
- Poterba, James M., 1989. "Capital Gains Tax Policy Toward Entrepreneurship," National Tax Journal, National Tax Association, vol. 42(3), pages 375-89, September.
- Hammond, Peter J, 1990.
"Theoretical Progress in Public Economics: A Provocative Assessment,"
Oxford Economic Papers,
Oxford University Press, vol. 42(1), pages 6-33, January.
- Hammond,Peter, 1988. "Theoretical progress in public economics: A provocative assessment," Discussion Paper Serie A 171, University of Bonn, Germany.
- Agliardi, Elettra, 2001. "Taxation and Investment Decisions: A Real Options Approach," Australian Economic Papers, Wiley Blackwell, vol. 40(1), pages 44-55, March.
- Niemann, Rainer & Sureth, Caren, 2004. "Tax neutrality under irreversibility and risk aversion," Economics Letters, Elsevier, vol. 84(1), pages 43-47, July.
- Mackie-Mason, Jeffrey K., 1990. "Some nonlinear tax effects on asset values and investment decisions under uncertainty," Journal of Public Economics, Elsevier, vol. 42(3), pages 301-327, August.
- Feldstein, Martin, 1976. "On the theory of tax reform," Journal of Public Economics, Elsevier, vol. 6(1-2), pages 77-104.
- B. Douglas Bernheim, 1989. "Incentive Effects of the Corporate Alternative Minimum Tax," NBER Chapters, in: Tax Policy and the Economy, Volume 3, pages 69-96 National Bureau of Economic Research, Inc.
- Auerbach, Alan J., 1989. "Capital Gains Taxation and Tax Reform," National Tax Journal, National Tax Association, vol. 42(3), pages 391-401, September.
- 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.
- Stracca, Livio, 2002. "The optimal allocation of risks under prospect theory," Working Paper Series 0161, European Central Bank.
When requesting a correction, please mention this item's handle: RePEc:zbw:arqudp:2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.