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Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets

Citations

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Cited by:

  1. Douglas Gale & Piero Gottardi, 2013. "Capital Structure and Investment Dynamics with Fire Sales," Economics Working Papers ECO2013/09, European University Institute.
  2. Benninga, Simon & Sarig, Oded, 2003. "Risk, returns, and values in the presence of differential taxation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1123-1138, June.
  3. Bottazzi, Jean-Marc & De Meyer, Bernard, 2003. "A market game for assets and taxed investors," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 657-675, July.
  4. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
  5. Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
  6. Kavous Ardalan & Eliezer Prisman, 1998. "Corporate investment, dividend decisions, differential taxation and the no-arbitrage condition," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 49-58, March.
  7. Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
  8. Hussein Abedi Shamsabadi & Byung S. Min & Imen Tebourbi & Mohammad Nourani, 2020. "Corporate Governance in Australia: Share Repurchases under an Imputation Tax System," Capital Markets Review, Malaysian Finance Association, vol. 28(1), pages 1-23.
  9. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
  10. Frank Strobel, 2005. "International tax arbitrage, financial parity conditions and preferential capital gains taxation," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 219-226.
  11. Poterba, James M., 2002. "Taxation, risk-taking, and household portfolio behavior," Handbook of Public Economics, in: A. J. Auerbach & M. Feldstein (ed.), Handbook of Public Economics, edition 1, volume 3, chapter 17, pages 1109-1171, Elsevier.
  12. Eikseth, Hans Marius & Lindset, Snorre, 2009. "A note on capital asset pricing and heterogeneous taxes," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 573-577, March.
  13. 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.
  14. Shijie Liu & Andrew Adams & Boulis M. Ibrahim, 2013. "Effects of Tax on Investment Portfolios and Financial Markets Under Mixed Integer Stochastic Programming," CFI Discussion Papers 1304, Centre for Finance and Investment, Heriot Watt University.
  15. Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
  16. Strobel, Frank, 2001. "International tax arbitrage, tax evasion and interest parity conditions," Research in Economics, Elsevier, vol. 55(4), pages 413-427, December.
  17. David M. Schizer & Michael R. Powers & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers ysm356, Yale School of Management.
  18. Olga S. Belomyttseva & Larisa S. Grinkevich & Anastasiia M. Grinkevich & Samo Bobek & Polona Tominc, 2018. "Tax incentives for bond-oriented individual investors: evidence from the Russian Federation," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 4(2), pages 108-124.
  19. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  20. Douglas Gale & Piero Gottardi, 2018. "A General Equilibrium Theory of Capital Structure," 2018 Meeting Papers 264, Society for Economic Dynamics.
  21. Strobel, Frank, 2012. "International tax arbitrage and residence vs. source-based capital income taxation," Research in Economics, Elsevier, vol. 66(4), pages 391-397.
  22. Gale, Douglas & Gottardi, Piero, 2020. "A general equilibrium theory of banks' capital structure," Journal of Economic Theory, Elsevier, vol. 186(C).
  23. Christoph Kuhn, 2018. "How local in time is the no-arbitrage property under capital gains taxes ?," Papers 1802.06386, arXiv.org, revised Sep 2018.
  24. Piero Gottardi & Douglas Gale, 2017. "Equilibrium Theory of Banks' Capital Structure," 2017 Meeting Papers 380, Society for Economic Dynamics.
  25. Schindler, Dirk, 2002. "Besteuerung des Nichts: Steuerarbitrage und das schwindende Aufkommen bei Kapitaleinkommensteuern," CoFE Discussion Papers 02/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
  26. Seth Armitage, 2004. "Returns after personal tax on UK equity and gilts, 1919-1998," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 23-43.
  27. Kavous Ardalan & Kevin Hebner, 1998. "The no-arbitrage condition and financial markets with heterogeneous information," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 87-99, March.
  28. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
  29. Florentsen, Bjarne & Rydqvist, Kristian, 2002. "Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of Danish Lottery Bonds," Journal of Financial Intermediation, Elsevier, vol. 11(2), pages 152-175, April.
  30. 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.
  31. Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
  32. Jones, C., 1999. "Miller's Equilibrium and Uncertainty," ANU Working Papers in Economics and Econometrics 1999-373, Australian National University, College of Business and Economics, School of Economics.
  33. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
  34. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
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