Do Taxes Matter in the CAPM?

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.

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Year of publication:	2009
Authors:	Kruschwitz, Lutz ; Löffler, Andreas
Published in:	BuR - Business Research. - Göttingen : VHB - Verband der Hochschullehrer für Betriebswirtschaft, German Academic Association of Business Research, ISSN 1866-8658. - Vol. 2.2009, 2, p. 171-178
Publisher:	Göttingen : VHB - Verband der Hochschullehrer für Betriebswirtschaft, German Academic Association of Business Research
Subject:	CAPM \| Gleichgewicht \| Steuer \| Nutzenfunktion \| Theorie \| CARA utility \| Tax-CAPM \| equilibrium \| taxes

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/BF03342709 [DOI] 616185324 [GVK] hdl:10419/103679 [Handle] RePEc:vhb:journl:v:2:y:2009:i:2:p:171-178 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010421340