Effects of a capital gains tax on asset pricing
Abstract I extend and generalize the work of Kruschwitz and Löffler (BuR—Business Research 2(2):171–178, 2009). I find that, with a zero risk-free rate, the implicit price of capital gains tax payments is zero. I provide conditions in stochastic discount factor language when a capital gains tax has...
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| Format: | Article |
| Language: | English |
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Springer
2017-12-01
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| Series: | Business Research |
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| Online Access: | http://link.springer.com/article/10.1007/s40685-017-0058-7 |