Do Taxes Matter in the CAPM?

The traditional literature on the CAPM assumes that investor's tax payments simply vanish from themodel. This assumption is not at all consistent with the actual behavior of the Treasury. The theoryof general equilibrium states that an interest rate rf = 0 will not affect prices if taxes are introduced.We show that this result can be extended to the CAPM if the tax payments are redistributed amonginvestors.

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Year of publication:	2009-12-15
Authors:	Kruschwitz, Lutz ; Löffler, Andreas
Institutions:	Verband der Hochschullehrer für Betriebswirtschaft
Published in:	BuR - Business Research BuR ; Volume 2, Issue 2, December 2009, 171-178
Subject:	Capital-Asset-Pricing-Modell

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Extent:	174080 bytes 8 p. application/pdf
Type of publication:	Article
Language:	English
ISSN:	1866-8658
Classification:	Corporate taxation and accounting. General ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

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