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 explores the taxation of risky assets, both from the theoretical perspective of optimal taxation and from the practical one of measuring quot;thequot; tax rate on an asset when, as under existing practice, its stochastic returns are subject to differential tax treatment across states...