Kruschwitz, Lutz; Löffler, Andreas - In: BuR - Business Research 2 (2009) 2, pp. 171-178
: CAPM, Tax-CAPM, equilibrium, taxes, CARA utility
Manuscript received June 13, 2009, accepted by Rainer Niemann (Accounting … impact on the
optimalportfolioandhenceonequilibriumprices.
We must assume that the tax CAPM equations
derived by Brennan and … Conclusion
Authors contributing to the tax CAPM discussion
usually neglect the fact that the Treasury typically
redistributes the …