On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model

Bjarne Astrup Jensen
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Bjarne Astrup Jensen: Department of Finance, Copenhagen Business School, Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark

No 2002-1, Working Papers from Copenhagen Business School, Department of Finance

Abstract: We establis necessary and sufficient conditions for a linear taxation system to be neutral - within the multi-period discrete time "no arbitrage" model - in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions.

Keywords: Tax neutrality; mark-to-market valuation; generalized linear taxation schemes; wash sales (search for similar items in EconPapers)
JEL-codes: G12 G13 H20 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2002-03-06
New Economics Papers: this item is included in nep-pbe
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Citations: View citations in EconPapers (1)

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