Kruschwitz, Lutz; Andreas Löffler - Arbeitskreis Quantitative Steuerlehre - 2009
The traditional literature on the CAPM assumes that the tax payments of the investors simply vanish from the model …. This assumption is not at all consistent with the actual behaviour of the tax man.From the theory of general equilibrium we … the CAPM if the tax payments are redistributed among investors. Furthermore, the result also holds for nonvanishing …