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Die arbitragefreie Adjustierung von Diskontierungssätzen bei einfacher Gewinnsteuer

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  • Marc Steffen Rapp

    (Lehrstuhl für Finanzmanagement und Banken der Handelshochschule Leipzig)

Abstract

Zusammenfassung Die Idee der gewichteten Kapitalkosten (WACC) für mehrperiodige Investitionsprojekte wurde erstmals 1980 von Miles/Ezzell im Kontext einer einfachen Gewinnsteuer und einem wertabhängigen Finanzierungsregime diskutiert. Wir erweitern das Modell auf Investitionsprojekte mit (i) allgemeineren Cashflow-Strukturen und (ii) ausfallbedrohtem Fremdkapital. Dazu unterscheiden wir zwischen Diskontierungsfaktoren für individuelle Cashflows und erwartete Investitionsrenditen eines Projektes. Wir leiten eine Relation ab, welche die Diskontierungssätze bei vollständiger Eigenfinanzierung mit den Diskontierungssätzen bei teilweiser Fremdfinanzierung verknüpft. Mittels eines Aggregationsmechanismuses für Diskontierungsfaktoren zeigen wir anschließend, dass die Anwendung dieser Relation auf Investitionsrenditen im Allgemeinen zu Fehlbewertungen führt.

Suggested Citation

  • Marc Steffen Rapp, 2006. "Die arbitragefreie Adjustierung von Diskontierungssätzen bei einfacher Gewinnsteuer," Schmalenbach Journal of Business Research, Springer, vol. 58(6), pages 771-806, September.
    • Handle: RePEc:spr:sjobre:v:58:y:2006:i:6:d:10.1007_bf03371681
    DOI: 10.1007/BF03371681
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    More about this item

    Keywords

    G12; G31; G32;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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