We extend the WACC approach to a tax system having a firm income tax and a personal income tax of the investor as well. We use an artificial tax system incorporating most of the G-7 national tax codes as for example the classical or the imputation systems.

We analyze a general business tax in an uncertain economy. Our tax system allows for a time-dependent tax rate and to this end we incorporate a generalized allowance for corporate equity (ACE). The generalized allowance is given by a fraction of the product of interest rate and book value of the...

The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation risk tends to affect the optimal weight calculation noticeably, especially when a large number of assets are considered. To overcome these issues, many...

Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against...

Measurement in financial accounting often requires determining an interest rate to discount future cash flows. One example is the International Accounting Standard (IAS)36 Impairment of assets. IAS 36´s impairment test requires determining a value in use (a present value). The Appendix A to the...

Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against...

This note incorporates wealth taxes in a simple asset valuation model based on discounted cash flows. Any valuation method requires an adjustment of pre-tax into post-tax costs of capital. By adopting the adjustment procedure proposed in previous literature, we show that arbitrage opportunities...

Bezugsrechtsemissionen in optionspreistheoretischer Sicht Bezugsrechte dienen dazu, den Altaktionär vor Vermögensverlusten zu schützen. Die Höhe dieses Vermögensverlustes, d.h. der Wert des Bezugsrechts, beläuft sich nach herkömmlicher Betrachtungsweise auf die Differenz zwischen Kurs der...

We generalize the classical concept of a certainty equivalent to a model where an investor can trade on a capital market with several future trading dates. We show that if a riskless asset is traded and the investor has a CARA utility then our generalized certainty equivalent can be evaluated...

Diese Diskussionsarbeit stellt einen wichtigen Baustein zu einer geplanten Monographie über die Theorie der DCF-Verfahren dar. Es gibt viele Veröffentlichungen zu diesem Thema, die nach Ansicht der Verfasser ein Problem aufweisen: sie fußen nicht auf einem stringenten Konzept des Begriffes...