A note on capital asset pricing and heterogeneous taxes

被引：5
|
作者：
Eikseth, Hans Marius [1 ]
Lindset, Snorre [1 ,2 ]
机构：
[1] Sor Trondelag Univ Coll, Trondheim Business Sch, N-7050 Trondheim, Norway
[2] Norwegian Univ Sci & Technol, Dept Ind Econ, N-7491 Trondheim, Norway
来源：
JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 03期
关键词：
Cost of capital; Heterogeneous taxes; CAPM; After-tax beta; RISK; EQUILIBRIUM; VALUATION; TAXATION; CORPORATE; ARBITRAGE; PRICES; RATES;
D O I：
10.1016/j.jbankfin.2008.09.012
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we present a stylized model where we show how asset prices, i.e., required expected rates of returns, may be characterized in a world with heterogeneous asset taxes. Within a simple CAPM-like framework, we derive an after-tax beta equal to the pre-tax beta multiplied by a (non-obvious) asset specific tax adjustment. We further show in what sense the Security Market Line here can be replaced by a Security Market Fan. Well-known CAPM relations are obtained as special cases, and policy implications are analyzed. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：573 / 577
页数：5
相关论文
共 50 条
12345