Document Actions

Accounting

Do Taxes Matter in the CAPM?

  1. Lutz Kruschwitz
  2. Andreas Löffler

Abstract

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.

Keywords

Fulltext

Get the fulltext as pdf.

License

Any party may pass on this Work by electronic means and make it available for download under the terms and conditions of the authorcontract. The text of the license may be accessed and retrieved via Internet at no url given

Number of citations

Visit Google Scholar to find out, how often this paper is cited.

 
Issues 2009
Volume 2 | Issue 2 | December 2009
PDF Icon Download (PDF - 2,9 MB)
Volume 2 | Issue 1 | May 2009
PDF Icon Download (PDF - 2,7 MB)

Cover Business Research