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Department of Finance, Copenhagen Business School Working Paper Series, Department of Finance, Copenhagen Business School

No 2002-1:
On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model.

Bjarne Astrup Jensen

Abstract: We establis necessary and sufficient conditions for a linear taxation system to be neutral - within the multi-period discrete time "no arbitrage" model - in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions.

Keywords: Tax neutrality; mark-to-market valuation; generalized linear taxation schemes; wash sales; (follow links to similar papers)

JEL-Codes: G12; G13; H20; (follow links to similar papers)

26 pages, March 6, 2002

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