期刊名称：Dresden Discussion Paper Series in Economics / Dresden University of Technology, Faculty of Business Management and Economics
印刷版ISSN：0945-4829
出版年度：2007
卷号：1
出版社：Dresden
摘要：Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and
differential income taxation. We start with the well-known result that risk-taking may increase when income tax rates
increase and, therefore, the incentive for hedging reduces. We demonstrate that pure hedging is differently affected by
taxation than speculative hedging is. Analysing tax-sensitivity of the corporate hedge shows that a higher risk in the
first place may reduce the tax-induced incentive to revise a futures position.
关键词：taxation; hedging; mean-variance model; unified and differential taxation; Roy preference function
