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A note on arbitrage-free asset prices with and without personal income taxes

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  • Jochen Wilhelm
  • Josef Schosser

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  • Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, vol. 1(2), pages 133-149, August.
    • Handle: RePEc:spr:rvmgts:v:1:y:2007:i:2:p:133-149
    DOI: 10.1007/s11846-007-0007-5
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    References listed on IDEAS

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    1. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    2. Garman, Mark B. & Ohlson, James A., 1981. "Valuation of risky assets in arbitrage-free economies with transactions costs," Journal of Financial Economics, Elsevier, vol. 9(3), pages 271-280, September.
    3. DeAngelo, Harry & Masulis, Ronald W, 1980. "Leverage and Dividend Irrelevancy under Corporate and Personal Taxation," Journal of Finance, American Finance Association, vol. 35(2), pages 453-464, May.
    4. Michael Gallmeyer & Sanjay Srivastava, "undated". "No Arbitrage and the Tax Code," GSIA Working Papers 2003-E37, Carnegie Mellon University, Tepper School of Business.
    5. repec:dau:papers:123456789/5630 is not listed on IDEAS
    6. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    7. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short‐Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232, July.
    8. repec:crs:wpaper:9514 is not listed on IDEAS
    9. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
    10. Gregor Dorfleitner & Michael Krapp, 2007. "On multiattributive risk aversion: some clarifying results," Review of Managerial Science, Springer, vol. 1(1), pages 47-63, April.
    11. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
    12. repec:crs:wpaper:9513 is not listed on IDEAS
    13. DeAngelo, Harry & Masulis, Ronald W., 1980. "Optimal capital structure under corporate and personal taxation," Journal of Financial Economics, Elsevier, vol. 8(1), pages 3-29, March.
    14. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    15. Wilhelm, Jochen & Nietert, Bernhard, 2004. "Non-Negativity of Nominal and Real Riskless Rates, Arbitrage Theory, and the Null-Alternative Cash," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 11, University of Passau, Faculty of Business and Economics.
    16. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128.
    17. repec:dau:papers:123456789/5647 is not listed on IDEAS
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    Cited by:

    1. Rainer Niemann & Mariana Sailer, 2023. "Is analytical tax research alive and kicking? Insights from 2000 until 2022," Journal of Business Economics, Springer, vol. 93(6), pages 1149-1212, August.
    2. Schosser, Josef, 2008. "Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 13, University of Passau, Faculty of Business and Economics.
    3. Frank Richter, 2011. "Barwert von Cashflows und Residualgewinnen bei unsicheren Inflationserwartungen," Schmalenbach Journal of Business Research, Springer, vol. 63(5), pages 430-457, August.

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    More about this item

    Keywords

    Arbitrage; Personal income taxes; Valuation; G12;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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