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Assessing the impact of taxation on the effective tax rate and operational risk of capital investment projects under optimal capital structures

Paquin, Jean-Paul; Racicot, François-Éric; Koplyay, Tamas - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-27

tax rates (a) on the effective tax rate, and (b) on the operational risk of capital investment projects and their parent … spectrum of risky capital investment projects, both metrics are applied to a stationary in mean and variance stochastic NPVτ …

Persistent link: https://www.econbiz.de/10015211040

A Primer on Managing Sovereign Debt-Portfolio Risks

Jonasson, Thordur - 2018

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

Persistent link: https://www.econbiz.de/10012918566

Climate risks and corporate tax shields

Saba, Zannatus - In: Journal of sustainable finance & investment 14 (2024) 4, pp. 787-814

Persistent link: https://www.econbiz.de/10015197366

Profit Shifting and Tax - Rate Uncertainty

Delis, Manthos D. - 2020

Using firm-level data for 1,084 parent firms in 24 countries and for 9,497 subsidiaries in 54 countries, we show that tax-motivated profit shifting is larger among subsidiaries in countries that have stable corporate tax rates over time. Our findings further suggest that firms move away from...

Persistent link: https://www.econbiz.de/10012855018

Cost of Capital with Levered Cost of Equity as the Risk of Tax Shields

Tham, Joseph - 2011

We present the derivation of cost of capital under the assumption of risky tax shields discounted with the cost of levered equity. We show that the formulation is consistent and is derived from basic financial principles. This formulation is valid for finite cash flows and non growing...

Persistent link: https://www.econbiz.de/10013133138

Stroke of a Pen : Investment and Stock Returns under Energy Policy Uncertainty

Imbet, Juan F. - 2022

in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value …

Persistent link: https://www.econbiz.de/10013300007

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836

Nothing is certain except death and taxes : the lack of policy uncertainty from expiring "temporary" taxes

Chang, Andrew C. - 2018

What is the policy uncertainty surrounding expiring taxes? How uncertain are the approvals of routine extensions of temporary tax policies? To answer these questions, I use event studies to measure cumulative abnormal returns (CARs) for firms that claimed the U.S. research and development (R&D)...

Persistent link: https://www.econbiz.de/10011932265

Risk Premia to Political Uncertainty in Global Equity Markets

Sauer, Maximilian - 2018

Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...

Persistent link: https://www.econbiz.de/10012909481

Global Political Uncertainty and Asset Prices

Brogaard, Jonathan - 2020

We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political...

Persistent link: https://www.econbiz.de/10012856549