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dc.contributor.authorScholz, Peteren_US
dc.contributor.authorWalther, Ursulaen_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:04:17Z-
dc.date.available2010-09-24T09:04:17Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/40188-
dc.description.abstractDespite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has not been previously addressed for these instruments. In order to capture tax effects, we simulate the entire return distributions of several structured products under the two most recent German taxation systems. Evaluation is done based on the concepts of stochastic dominance as well as expected utility. For the latter, we use both a risk neutral and a loss averse value function. Individual preferences prove relevant especially for those instruments that have been tailored to loss averse investors. We find significant tax effects, but they depend on the particular tax regime and the structure of the instrument. Interestingly, the introduction of the final withholding tax system substantially diminishes previously existing tax advantages.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 24en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordAbgeltungsteueren_US
dc.subject.keywordbootstrappingen_US
dc.subject.keywordcapital gain taxen_US
dc.subject.keywordexpected returnen_US
dc.subject.keywordexpected utilityen_US
dc.subject.keywordfinancial instrumentsen_US
dc.subject.keywordflat taxen_US
dc.subject.keywordHalbeink├╝nfteverfahrenen_US
dc.subject.keywordhistorical simulationen_US
dc.subject.keywordinvestment certificatesen_US
dc.subject.keywordreturn shapingen_US
dc.subject.keywordrisk-return profilesen_US
dc.subject.keywordstochastic dominanceen_US
dc.subject.keywordstructured productsen_US
dc.subject.keywordtaxationen_US
dc.subject.stwInvestmentfondsen_US
dc.subject.stwHybrides Finanzprodukten_US
dc.subject.stwKapitalertragsteueren_US
dc.subject.stwWertzuwachssteueren_US
dc.subject.stwSteuerbelastungen_US
dc.subject.stwRenditeen_US
dc.subject.stwRisikoen_US
dc.subject.stwDeutschlanden_US
dc.titleInvestment certificates under German taxation: Benefit or burden for structured products' performance?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn634828371en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:24-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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