Working Paper Series, Department of Finance, Copenhagen Business School
Bjarne Astrup Jensen
On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model.
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
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
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Lars Nondal ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom