BFS 2002

Contributed Talk

We establish 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 sale transactions.       http://www.cbs.dk/departments/finance/publikationer/publicationsuk.shtml