Lei, Adrian; Yick, Martin; Lam, Keith - In: Review of Quantitative Finance and Accounting 41 (2013) 1, pp. 131-147
The purpose of this study is to explore the effect of tax convexity on firms’ market risk, where tax convexity measures the progressivity of firms’ tax function. We examine the relation between equity beta and tax convexity based on a standard contingent-claims model, in which firms face...