Başak, Suleyman (contributor); … - 2002 - [Elektronische Ressource]
appears as an additional driving factor in the
consumption-based CAPM. This extends the differential taxation CAPM of Brennan …(t)cov
dS(t)
S(t) ;d–(t)
¶
+ A(t)A
H(t)
(¿H ¡¿L)–(t)
S(t) :
As in the standard consumption-based CAPM (Breeden, 1979; Duffie and … = 0), his consumption-based CAPM does not collapse to the benchmark.
AnotherimplicationofProposition3.3isonthepre …