Security market equilibrium with differential taxation / Michael F. Gallmeyer.

Format:

Book

Manuscript

Microformat

Thesis/Dissertation

Author/Creator:

Gallmeyer, Michael F.

Contributor:

Basak, Suleyman, advisor.

University of Pennsylvania.

Language:

English

Subjects (All):

Penn dissertations--Finance.

Finance--Penn dissertations.

Penn dissertations--Managerial science and applied economics.

Managerial science and applied economics--Penn dissertations.

Local Subjects:

Penn dissertations--Finance.

Finance--Penn dissertations.

Penn dissertations--Managerial science and applied economics.

Managerial science and applied economics--Penn dissertations.

Physical Description:

vi, 54 pages : illustrations ; 29 cm

Production:

1998.

Summary:

This work studies the dynamics of equilibrium security prices when agents face differential dividend taxation. A continuous-time equilibrium is constructed via a representative agent with stochastic weights. Agents differ in their pricing of risk inducing agent-specific consumption-based CAPMs, with differential taxation appearing as an additional factor. The interest rate, stock price, and consumption dynamics are also impacted. Under logarithmic preferences, risk is transferred from the higher-taxed to the lower-taxed agent, and the interest rate decreases to counteract extra precautionary savings against this suboptimally shared risk. Numerical analysis reveals further tax rate, time-to-horizon, and dividend risk effects. For most wealth allocations, the stock return volatility is increased above the no-tax benchmark.

Notes:

Adviser: Suleyman Basak.

Thesis (Ph.D. in Finance) -- University of Pennsylvania, 1998.

Includes bibliographical references.

Local Notes:

University Microfilms order no.: 98-40191.

OCLC:

187472893