Taxation and systematic risk under decreasing returns to scale

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Taxation and systematic risk under decreasing returns to scale

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dc.contributor.author Lund, Diderik en_US
dc.date.accessioned 2009-02-04T10:27:56Z
dc.date.available 2009-02-04T10:27:56Z
dc.date.issued 2003-10-24T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/7643
dc.description.abstract Abstract Lund (2002a) showed in a CAPM-type model how tax depreciation schedules affect required expected returns after taxes. Even without leverage higher tax rates implied lower betas when tax deductions were risk free. Here they are risky, and marginal investment is taxed together with inframarginal in an analytical model of decreasing returns. With imperfect loss offset tax claims are analogous to call options. The beta of equity is still decreasing in the tax rate, but increasing in the underlying volatility. The results are important if market data are used to infer required expected returns, and in discussions of tax design. Keywords: Corporate tax, depreciation, imperfect loss offset, decreasing returns, cost of capital, uncertainty en_US
dc.format.extent 50 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2003-2 en_US
dc.subject.other afskrivning en_US
dc.subject.other afskrivninger-skatter en_US
dc.subject.other capm en_US
dc.subject.other afkast en_US
dc.subject.other jel classification numbers: f23, g31, h25 en_US
dc.title Taxation and systematic risk under decreasing returns to scale en_US
dc.type wp en_US
dc.accessionstatus modt03okt24 inrumo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Nationaløkonomi en_US
dc.contributor.departmentshort ECON en_US
dc.contributor.departmentuk Department of Economics en_US
dc.contributor.departmentukshort ECON
dc.idnumber x656102658 en_US
dc.publisher.city København en_US
dc.publisher.year 2003 en_US


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