On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model.

We establis necessary and sufficient conditions for a linear taxation system to be neutral - within the multi-period discrete time "no arbitrage" model - in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions.

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Year of publication:	2002-03-06
Authors:	Jensen, Bjarne Astrup
Institutions:	Copenhagen Business School
Subject:	Tax neutrality \| mark-to-market valuation \| generalized linear taxation schemes \| wash sales

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Paper Series Number 2002-1 26 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; H20 - Taxation, Subsidies, and Revenue. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005771049