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Valuation before and after tax in the discrete time, finite state no arbitrage model

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  • Bjarne Jensen

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  • Bjarne Jensen, 2009. "Valuation before and after tax in the discrete time, finite state no arbitrage model," Annals of Finance, Springer, vol. 5(1), pages 91-123, January.
    • Handle: RePEc:kap:annfin:v:5:y:2009:i:1:p:91-123
    DOI: 10.1007/s10436-007-0091-1
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    References listed on IDEAS

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    1. Suleyman Basak & Michael Gallmeyer, 2003. "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, vol. 7(2), pages 121-159.
    2. William Vickrey, 1939. "Averaging of Income for Income-Tax Purposes," Journal of Political Economy, University of Chicago Press, vol. 47(3), pages 379-379.
    3. Dammon, Robert M & Spatt, Chester S, 1996. "The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs," The Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 921-952.
    4. Abel Cadenillas & Stanley R. Pliska, 1999. "Optimal trading of a security when there are taxes and transaction costs," Finance and Stochastics, Springer, vol. 3(2), pages 137-165.
    5. David F. Bradford, 2000. "Taxation, Wealth, and Saving," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262024705, December.
    6. Auerbach, Alan J. & Bradford, David F., 2004. "Generalized cash-flow taxation," Journal of Public Economics, Elsevier, vol. 88(5), pages 957-980, April.
    7. Auerbach, Alan J, 1991. "Retrospective Capital Gains Taxation," American Economic Review, American Economic Association, vol. 81(1), pages 167-178, March.
    8. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54, January.
    9. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
    10. George M. CONSTANTINIDES & Jonathan E. INGERSOLL Jr., 2005. "Optimal Bond Trading With Personal Taxes," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 6, pages 165-206, World Scientific Publishing Co. Pte. Ltd..
    11. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1995. "Tax Basis And Nonlinearity In Cash Stream Valuation," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 97-119, April.
    12. Basak, Suleyman & Croitoru, Benjamin, 2001. "Non-linear taxation, tax-arbitrage and equilibrium asset prices," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 347-382, April.
    13. Dybvig, Philip H & Ross, Stephen A, 1986. "Tax Clienteles and Asset Pricing," Journal of Finance, American Finance Association, vol. 41(3), pages 751-762, July.
    14. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
    15. repec:bla:jfinan:v:43:y:1988:i:4:p:893-911 is not listed on IDEAS
    16. Dammon, Robert M & Green, Richard C, 1987. "Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, vol. 42(5), pages 1143-1166, December.
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    Cited by:

    1. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.

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    More about this item

    Keywords

    Tax neutrality; Mark-to-market valuation; Generalized linear taxation schemes; Wash sales; G12; G13; H20;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General

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