Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103679
Authors: 
Kruschwitz, Lutz
Löffler, Andreas
Year of Publication: 
2009
Citation: 
[Journal:] BuR - Business Research [ISSN:] 1866-8658 [Volume:] 2 [Year:] 2009 [Issue:] 2 [Pages:] 171-178
Abstract: 
The traditional literature on the CAPM assumes that investor's tax payments simply vanish from the model. This assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an interest rate rf = 0 will not affect prices if taxes are introduced. We show that this result can be extended to the CAPM if the tax payments are redistributed among investors.
Subjects: 
CAPM
CARA utility
Tax-CAPM
equilibrium
taxes
Persistent Identifier of the first edition: 
Document Type: 
Article

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