Eikseth, Hans Marius; Lindset, Snorre - In: Journal of Banking & Finance 33 (2009) 3, pp. 573-577
In this paper, we present a stylized model where we show how asset prices, i.e., required expected rates of returns, may be characterized in a world with heterogeneous asset taxes. Within a simple CAPM-like framework, we derive an after-tax beta equal to the pre-tax beta multiplied by a...