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dc.contributor.authorScholz, Peteren
dc.contributor.authorWalther, Ursulaen
dc.date.accessioned2010-09-09-
dc.date.accessioned2010-09-24T09:04:17Z-
dc.date.available2010-09-24T09:04:17Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aFrankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCPQF Working Paper Series |x24en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordAbgeltungsteueren
dc.subject.keywordbootstrappingen
dc.subject.keywordcapital gain taxen
dc.subject.keywordexpected returnen
dc.subject.keywordexpected utilityen
dc.subject.keywordfinancial instrumentsen
dc.subject.keywordflat taxen
dc.subject.keywordHalbeinkünfteverfahrenen
dc.subject.keywordhistorical simulationen
dc.subject.keywordinvestment certificatesen
dc.subject.keywordreturn shapingen
dc.subject.keywordrisk-return profilesen
dc.subject.keywordstochastic dominanceen
dc.subject.keywordstructured productsen
dc.subject.keywordtaxationen
dc.subject.stwInvestmentfondsen
dc.subject.stwHybrides Finanzprodukten
dc.subject.stwKapitalertragsteueren
dc.subject.stwWertzuwachssteueren
dc.subject.stwSteuerbelastungen
dc.subject.stwRenditeen
dc.subject.stwRisikoen
dc.subject.stwDeutschlanden
dc.titleInvestment certificates under German taxation: Benefit or burden for structured products' performance?-
dc.typeWorking Paperen
dc.identifier.ppn634828371en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cpqfwp:24en

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