Essays on Taxation, Portfolio Policies and Capital Asset Pricing Theory PDF Download
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Author: Navendu Vasavada
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 128
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Author: Navendu Vasavada
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 128
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Author: Jude-Henri Jeanniton
Publisher:
ISBN:
Category :
Languages : en
Pages :
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The main idea of this thesis is to deepen our understanding of the relationship between tax policy and heterogeneous capital. The first chapter revisits the question of whether preferential tax regimes are desirable in a context where some jurisdictions have leadership advantages in their choice of tax policy. It is argued that if regions or countries involved in tax competition act sequentially as Stackelberg competitors, they will prefer to limit the use of preferential tax policy. If firms located in small regions face higher mobility costs on average than those located in large regions, small regions want to ban preferential tax regimes while large regions will tend to support them. If jurisdictions are populated mainly by firms with low mobility costs, they will prefer preferential tax treatments. On the other hand, if they are populated mostly by firms with high mobility costs, small regions want to restrict preferential tax policies while large regions will favour them. The second chapter embraces the neoclassical theory of investment to model the rate of investment in physical and intangible capital. It uses data from the EU KLEMS database, the Oxford University Centre for Business Taxation and the Tax Foundation. It concludes that the equations for the rate of investment in physical and intangible capital are distinct. Corporate tax incentives affect the rates of investment in physical and intangible capital, but differently. The higher rate of depreciation of intangible capital relative to physical capital seems to explain the increasing ratio of investment in intangible to physical capital. The third chapter examines heterogeneity by type of capital within the relationship between capital and its user cost, for five types of physical capital asset and two types of intangible capital asset. The dataset is almost similar to that of chapter two. The results show that, in the short-run dynamics, both the dynamic fixed-effects and GMM results seem to agree on the role of changes in the user cost of capital on the accumulation of the stock of capital. Overall, dynamic fixed-effects estimation seems to yield results that are more consistent with the theoretical conclusions on investment behaviour and empirical results for physical capital already established in the literature.
Author: TSONG-YUE. LAI
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Ronald Frederick Singer
Publisher:
ISBN:
Category : Income tax
Languages : en
Pages : 418
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Author: Riad Nourallah
Publisher: Sudwestdeutscher Verlag Fur Hochschulschriften AG
ISBN: 9783838129693
Category :
Languages : en
Pages : 252
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Adler and Dumas (1983) laid the foundation for pricing international assets under deviation from Relative Purchasing Power Parity (PPP). Only Lally (1996) regards the spectrum of international taxation but in his model - he disregards the tremendous impact of exchange gains taxation in International Capital Asset Pricing Theory (IntCAPT). This dissertation develops a theory of taxation in pricing international assets. The new result is that the integration of exchange gains taxation into the Tax - IntCAPM leads to an international pricing relationship composed of the risky asset's excess return and its world risk premium, which is adapted by exchange gains tax factors. The non-linear deterministic behavior of exchange rates and the determination of inflation by monetary policy lead to the integration of the market equilibrium exchange and inflation rate into the Tax - IntCAPM.
Author: Tony Van Zijl
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 316
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Author: Antonius Johannes Van Zijl
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 316
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Author: Christian Koeppel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the construction of a new risk factor and provides a comprehensive understanding of its role in sentiment-augmented asset pricing models for international equity indices. We empirically demonstrate the existence of a statistically significant and economically relevant sentiment premium. Differentiating between developed and emerging markets we reveal different patterns of return reversals / persistence. Our results contribute to the explanation of global cross-sectional average excess returns, demonstrating superiority in terms of predictive power when compared to competing definitions of sentiment. The second essay "Does social media sentiment matter in the pricing of U.S. stocks?" finds that the inclusion of micro-grounded, social media-based sentiment significantly improves the performance of the five-factor model from Fama and French (2015, 2017). This holds for different industry and style portfolios such as size, value, profitability, and investment. Applying a robust GMM estimator, the sentiment risk premium provides the missing component in the behavioral asset pricing theory of Shefrin and Belotti (2008) and (partially) resolves the pricing puzzles of small extreme growth, small extreme investment stocks and small stocks that invest heavily despite low profitability. The third essay "Diversifying estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum-variance strategies to minimize the expected out-of-sample variance. The proposed averaging rule overcomes the strategy selection problem and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore conclude that averaging over multiple strategies offers sizable diversification benefits.
Author: Mattia Landoni
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Selling appreciated tax-exempt bonds, however, is expensive because future interest income is already tax-exempt. I confirm my prediction using regulatory filings that contain book value, fair value, and transactions for all insurers' bond positions. Taxes are a first-order factor in the decision (not) to sell appreciated tax-exempt bonds in the period leading up to the 2008 financial crisis; during the crisis, however, trading motives other than taxes prevail temporarily. In the second chapter, I apply the insight from the first part to the optimal trading of tax exempt bonds, a four-trillion-dollar market where essentially every investor is taxable. Here I solve for the optimal realization of taxable gains and losses for investors in tax exempt bonds, and show that Theta provides an investor with a good quality "sell" signal without solving a full-blown dynamic programming problem. Given the optimal trading strategy, I then solve for the coupon rate that maximizes a rational investor's value.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 978
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