We found a match
Your institution may have rights to this item. Sign in to continue.
- Title
Valuation before and after tax in the discrete time, finite state no arbitrage model.
- Authors
Jensen, Bjarne Astrup
- Abstract
We establish 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.
- Subjects
VALUATION; TAX rates; OPTIONS (Finance); FOREIGN exchange options; INCOME tax
- Publication
Annals of Finance, 2009, Vol 5, Issue 1, p91
- ISSN
1614-2446
- Publication type
Article
- DOI
10.1007/s10436-007-0091-1