Arbeitspapier
An analytical model of required returns to equity under taxation with imperfect loss offset
Lund (2002a) showed in a CAPM-type model how tax depreciation schedules affect required expected returns after taxes. Even without leverage higher tax rates implied lower betas when tax deductions were risk free. Here they are risky, and marginal investment is taxed together with inframarginal in an analytical model of decreasing returns. With imperfect loss offset tax claims are analogous to call options. The beta of equity is still decreasing in the tax rate, but increasing in the underlying volatility. The results are important if market data are used to infer required expected returns, and in discussions of tax design.
- Sprache
-
Englisch
- Erschienen in
-
Series: Memorandum ; No. 2005,13
- Klassifikation
-
Wirtschaft
Multinational Firms; International Business
Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
Business Taxes and Subsidies including sales and value-added (VAT)
- Thema
-
Corporate tax
depreciation
imperfect loss offset
cost of capital
uncertainty
Unternehmensbesteuerung
Steuerrechtliche Abschreibung
Kapitalkosten
Capital Asset Pricing Model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lund, Diderik
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Oslo, Department of Economics
- (wo)
-
Oslo
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lund, Diderik
- University of Oslo, Department of Economics
Entstanden
- 2005
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