uniform tax rate is neutral in terms of investment decisions, if fiscal depreciation allowances coincide with economic …

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for … notion of a certainty equivalent beta. We show that its term structure is not constant and that, for short maturities, it … equals the expected beta. If the expected beta is larger than a threshold (which is negative and large in absolute value in …

risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain … distribution of growth are statistically independent, the discount rate is increasing with maturity if and only if the beta of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost … standard two-sector real-business cycle model with habit formation and sector-specific adjustment costs of capital. The model …

theory are in line with a number of empirical results, which seem to stay in contrast to existing theories on capital …

When companies finance their investment via the international markets for stocks and bonds, relief from domestic …

(CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are … partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a …

Tax neutrality towards alternative financing instruments for corporate investment is a ubiquitous demand in the … political debate. At the same time, the literature is surprisingly silent about the magnitude of possible efficiency costs of a … departure from tax neutrality. Against this background, the present paper discusses the theory of capital structure and provides …