Earticle

초록

영어

This paper studies the theoretical and quantitative implications of corpo- rate income tax on asset pricing in a two-tree aggregate endowment economy. I …nd a mechanism through which corporate income tax increases and de- creases “portfolio risk”associated with rebalancing motive and introduce a new tax-related systematic risk. The tax a¤ects portfolio con…guration, re- lated to …nancial leverage, and plays an important role in determining price of stock since it generates both stabilization and destabilization on the volatility of return. A higher volatility is associated with a greater co-movement be- tween consumption growth and stock return. Stabiliazation e¤ect dominates destabilization e¤ect, and thus the tax relieve the risk.

목차

Abstract
 1 Introduction
 2 The Model
 3 Calibration
 4 Quantitative Results
  4.1 Portfolio Risk and Tax
  4.2 Asset Pricing Implications
 5 Conclusion
 References
 Table
 Figure

키워드

저자

• Chune Young Chung [ Department of Finance and Management Science, College of Business, Washington State University, ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330