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Lund, Diderik
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Memorandum, Department of Economics, University of Oslo 2000,21
Non-neutral taxation, and in particular imperfect loss offset, is shown to have a strong effect not only on investment decisions, but also on required expected after-tax rates of return to equity. Systematic risk is valued according to the CAPM, while non-linear taxes are valued by option valuation methods.
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Working Paper

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