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Tax Clienteles and Asset Pricing
Author(s) -
DYBVIG PHILIP H.,
ROSS STEPHEN A.
Publication year - 1986
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1986.tb04540.x
Subject(s) - consumption based capital asset pricing model , capital asset pricing model , economics , martingale (probability theory) , financial economics , asset (computer security) , rational pricing , monetary economics , marginal cost , microeconomics , econometrics , business , mathematics , computer science , statistics , computer security
Taxation of asset returns can create various clientele effects. If every agent is marginal on all assets, no clientele effects arise. If some (but not every) agent is marginal on all assets, there arises a clientele effect in quantities but none in prices. If no agent is marginal on all assets, there arise clientele effects in both quantities and prices. In the first two cases, standard asset pricing and martingale results extend to analogous aftertax results. In the third case, linear asset pricing works only on subsets of assets, and the standard martingale results become after‐tax supermartingale results.