Despite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has...

Despite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has...

In the economic literature the fiscal burden on financial claims is usually measured by the expected tax rate. Auerbach has demonstrated that the use of this method can be seriously misleading. This paper develops a method for defining an effective tax rate adjusted for risk on uncertain...

This paper presents the possibility that the government may be able to collect resources, without hurting investors, by introducing or changing taxes and subsidies on gains from different classes of financial assets. Our positive analysis is based on heterogeneous investors and an arbitrary...

Though part of “market lore,” Black (1976) first reported the inverse relationship between price and volatility, calling it the “leverage effect.” Without providing evidence, Black (1988) claims that in the months leading up to the October ‘87 Crash the relationship changed: price and...

This paper analyses in a sample equilibrium framework how uncertainty regarding the future level of taxes on factor incomes in the Mexican economy affects the overall volume of domestic investment and capital flight. It is a variation of the Alesina-Tabellini model, and brings out the importance...