文章基本信息
- 标题：Do Taxes Matter in the CAPM?
- 本地全文：下载
- 作者：Lutz Kruschwitz ; Andreas Löffler
- 期刊名称：Business Research
- 印刷版ISSN：2198-3402
- 电子版ISSN：2198-2627
- 出版年度：2009
- 卷号：2
- 期号：2
- 页码：171-178
- DOI：10.1007/BF03342709
- 语种：English
- 出版社：Verband der Hochschullehrer für Betriebswirtschaft e.V.
- 摘要：
The traditional literature on the CAPM assumes that investor’s tax payments simply vanish from the model. This assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an interest rate rf = 0 will not affect prices if taxes are introduced. We show that this result can be extended to the CAPM if the tax payments are redistributed among investors.
- 关键词：CAPM ;Tax-CAPM ;equilibrium ;taxes ;CARA utility
