haku: @indexterm capital markets / yhteensä: 931
viite: 95 / 931
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. |
SCIMA