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Cross-Border Loss Offset Can Fuel Tax Competition

Haufler, Andreas - 2013

Following recent court rulings, cross-border loss compensation for multinational firms will likely be introduced, at … cross-border loss compensation is likely to intensify tax competition when, following current international practice, the … parent firm's home country bases the tax rebate for a loss-making subsidiary on its own tax rate. In equilibrium, tax revenue …

Persistent link: https://www.econbiz.de/10013087272

The Efficiency Loss of Capital Income Taxation Under Imperfect Loss Offset Provisions

Ahsan, Syed M.; Tsigaris, Panagiotis Demetrios - 2021

The importance of capital loss offset provisions in a world of risk is well documented in the tax literature. However … would be dissipated. In contrast, full loss offset would reduce that loss to approximately fourteen cents …

Persistent link: https://www.econbiz.de/10013316603

Mean Univariate-GARCH VaR Portfolio Optimization : Actual Portfolio Approach

Rankovic, Vladimir - 2016

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...

Persistent link: https://www.econbiz.de/10012997323

The Optimal Taxation of Risky Capital Income : The Rate of Return Allowance

Spiritus, Kevin - 2017

We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...

Persistent link: https://www.econbiz.de/10012962987

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10012955752

Oligopoly, Macroeconomic Performance, and Competition Policy

Azar, José - 2018

We develop a macroeconomic framework in which firms are large and have market power with respect to both products and labor. Each firm maximizes a share-weighted average of shareholder utilities, which makes the equilibrium independent of price normalization. In a one-sector economy, if returns...

Persistent link: https://www.econbiz.de/10012908792

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10013153425

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10013081704

Risk-Taking-Neutral Background Risk

Franke, Günter - 2013

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background...

Persistent link: https://www.econbiz.de/10013087730

Liquidity, Term Spreads and Monetary Policy

Aksoy, Yunus - 2013

We propose a model that delivers endogenous variations in term spreads driven by banks' portfolio decision while facing the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for any liquidity needs and...

Persistent link: https://www.econbiz.de/10013089685