Personal Taxes in Multiperiod Valuation Models (Persönliche Steuern Im Mehrperiodenkontext)

FinanzBetrieb, Vol. 2, pp. 108-116, 2007

19 Pages Posted: 28 Sep 2006 Last revised: 31 Mar 2009

See all articles by Marc Steffen Rapp

Marc Steffen Rapp

University of Marburg - School of Business & Economics; University of Marburg - Marburg Centre for Institutional Economics (MACIE)

Bernhard Schwetzler

HHL Leipzig Graduate School of Management - Department of Finance

Date Written: September 25, 2006

Abstract

In a recent contribution Jorg Wiese discusses the problem of how to adopt a version of the single-period Tax-CAPM of Brennan (1970) for multiperiod valuation problems. With this short note, we would like to demonstrate the following problems of Wiese's analysis:

(1) the valuation calculus proposed by Wiese does not account for capital gains taxes in period T,

(2) if capital gains are consistently considered in each period, then there exists a period-independent relation between the certainty equivalent and the risk premium approach, and

(3) Wiese's claim that valuation results are insensitive with respect to assumptions concerning the timing of capital gains taxes [as long as tax deferral effects are reinvested at the (perfect) capital market] does not hold for positive interest rates.

Note: Downloadable document is in German.

Keywords: CAPM, personal taxes

JEL Classification: G31

Suggested Citation

Rapp, Marc Steffen and Schwetzler, Bernhard, Personal Taxes in Multiperiod Valuation Models (Persönliche Steuern Im Mehrperiodenkontext) (September 25, 2006). FinanzBetrieb, Vol. 2, pp. 108-116, 2007. Available at SSRN: https://ssrn.com/abstract=933051

Marc Steffen Rapp (Contact Author)

University of Marburg - School of Business & Economics ( email )

Am Plan 2
Marburg, D-35037
Germany

University of Marburg - Marburg Centre for Institutional Economics (MACIE) ( email )

Am Plan
Marburg, 35032
Germany

Bernhard Schwetzler

HHL Leipzig Graduate School of Management - Department of Finance ( email )

Jahnallee 59
D-04109 Leipzig
Germany
+49-341-9851-685 (Phone)
+49-341-9851-689 (Fax)

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