Asset pricing under tax rate uncertainty
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Description
This thesis contributes to explaining the effects of tax rate uncertainty on asset pricing. It uses real business cycle models with and without endogenous investments to conduct numerical experiments assuming different stochastic processes for the tax rate on dividends. It turns out that taxes on dividends can partly explain the equity premium. However, the magnitude of the effect of tax rate uncertainty on asset pricing depends very much on modelling assumptions such as endogeneity of investments. Furthermore, effects through tax capitalization and tax redistribution have substantial effects on asset prices and expected returns.
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| ID Code: | 107135 |
|---|---|
| Item Type: | QUT Thesis (Masters by Research) |
| Supervisor: | Chen, John & Torgler, Benno |
| Keywords: | Adjustment cost, Asset pricing, Dividend tax, Equity premium, Habit formation, Tax rate cyclicality, Tax rate uncertainty |
| DOI: | 10.5204/thesis.eprints.107135 |
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Institution: | Queensland University of Technology |
| Deposited On: | 31 May 2017 23:11 |
| Last Modified: | 09 Sep 2017 14:42 |
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