Stochastic taxation and asset pricing in dynamic general equilibrium

DOI10.1016/J.JEDC.2005.02.004zbMATH Open1200.91222OpenAlexW3125489951MaRDI QIDQ956515FDOQ956515

Authors: Clemens Sialm 

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.02.004

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zbMATH Keywords

taxationequity premiumvariability of asset returns

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Efficiency, Equilibrium, and Asset Pricing with Risk of Default
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Asset Prices in an Exchange Economy
• The Effects of Income, Wealth, and Capital Gains Taxation on Risk-Taking
• Robust Permanent Income and Pricing
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle

Cited In (15)

• Asset prices and the distribution of wealth
• The taxation principle and multi-time Hamilton-Jacobi equations
• Capital gains taxation and the lock-in effect: A probabilistic framework
• Divided governments and futures prices
• Income taxation, wealth effects, and uncertainty: portfolio adjustments with isoelastic utility and discrete probability
• Macroeconomic effects of an equity transaction tax in a general-equilibrium model
• The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab
• MARKET EQUILIBRIUM WITH CAPITAL LOSS DEDUCTION OPTIONS
• Tax neutrality under irreversibility and risk aversion
• Taxes and money in incomplete financial markets
• Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice
• Intertemporal equilibrium with physical capital and financial asset: role of dividend taxation
• Stock prices and monetary policy shocks: a general equilibrium approach
• Merton Problem with Taxes: Characterization, Computation, and Approximation
• Dynamic firm and investor behaviour under progressive personal taxation

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