haku: @author Basak, S. / yhteensä: 6
viite: 2 / 6
| Tekijä: | Basak, S. Gallmeyer, M. |
| Otsikko: | Capital market equilibrium with differential taxation |
| Lehti: | European Finance Review
2003 : VOL. 7:2, p. 121-159 |
| Asiasana: | Capital markets Taxation Share prices Equilibrium analysis |
| Kieli: | eng |
| Tiivistelmä: | The authors study the effect of investor-specific differential dividend taxation on the dynamics of equilibrium security prices and allocations. Under logarithmic preferences, risk is transferred from the higher-taxed to the lower-taxed investor, and the interest rate decreases to counteract extra precautionary savings against this suboptimally shared risk. Numerical analysis reveals further tax rate, time-to-horizon, and dividend risk effects on equilibrium quantities. For most wealth allocations, the stock return volatility is increased above the no-tax benchmark. |
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