Asset Prices in the Presence of a Tax Authority

This paper examines the equilibrium effect of a shift in the capital income tax rate upon state prices, risk-neutral probabilities, and corresponding security prices in a single-period binomial model economy with an exogenous risk-free rate. The policy design under consideration consists of a simple linear tax code that applies the economic rent as a tax base. It is shown that if tax proceeds are transferred to outsiders, a shift in the tax rate affects state prices, risk-neutral probabilities as well as equilibrium security prices. Thereby, the effect for the equilibrium price of a security is sensitive with respect to the correlation between its own payoff and the payoff of the market portfolio. If in contrast tax proceeds are redistributed within the cohort of market participants, risk-neutral probabilities, and security prices are unaffected by a change in the tax rate, although state prices are sensitive with respect to the tax rate.Equilibrium security prices, capital income tax, risk-neutral probability measure,

Equilibrium security prices with capital income taxes and an exogenous interest rate

We are interested in the effect of capital income taxes upon security prices when investors face locally segmented stock markets and a global bond market. Therefore, we analyze an equilibrium model of an economy with binomial uncertainty, an exogenous risk-free interest rate and a representative stand-in household. In this setting, the pricing effect for domestic securities is shown to be a function in three determinants: the covariance between pre-tax payoffs of securities and the aggregated market portfolio, the exogenous pre-tax interest rate and the effect of taxation (and redistribution) on the aggregate welfare of the stand-in household. We find that taxation of capital income is nondistorting if tax proceeds are immediately redistributed within the cohort of capital market participants. If, however, taxation represents a policy tool to transfer wealth from capital market participants to non-market participants, the level of the statutory tax rate is reflected in equilibrium security prices and taxation affects households portfolio decisions, which in turn may affect investment decision of firms. --equilibrium security prices,capital income tax,equity premium

Zinsschranke, Unternehmensbewertung und APV Ansatz - eine Anmerkung zum Beitrag von Förster/Stöckl/Brenken (ZfB 2009, S. 985 ff.)

In einem kürzlich erschienenen ZfB-Beitrag schlagen Förster et al. eine Vorgehensweise für die Erfassung der Zinsschranke und ihrer Wirkung auf die zinsinduzierte Steuerersparnis vor. Dieser Beitrag nimmt kritisch dazu Stellung: Es wird gezeigt, dass die dort abgeleiteten Formeln für die Steuerersparnisse nicht konsistent sind und bei positiven Zinsaufwendungen negative Steuerersparnisse zulassen. Die von den Autoren vorgeschlagene Aufspaltung der Steuerersparnisse ist u.E. nicht geeignet die Komplexität des Bewertungsproblems zu verringern: Die Schätzung der erwarteten Steuerersparnisse für die zweite Komponente setzt die Kenntnis der möglichen Entwicklungspfade der Steuerersparnis voraus. Die vorgeschlagene Aufteilung erhöht die Anzahl der zusätzlich zu schätzenden Diskontierungssätze. Schließlich setzt die Ableitung der risikoäquivalenten Diskontierungssätze die Kenntnis des Wertbeitrages bereits voraus. -- The German 'Zinsschranke' limits the tax deductability of interest expenses. Recently, in this journal Förster et al. have developed a model to incorporate this tax regulation into the calculation of the tax shield in corporate valuation. Our paper critically comments on this proposal.Unternehmensbewertung,Kapitalstruktur,Tax Shield,Zinsschranke,Corporate Valuation,Capital Structure,Interest Ceiling Rule

The disappearing ‘Deutschland AG’ – an analysis of blockholdings in German large caps

The German corporate governance system changed substantially over the last ten years. Meanwhile, ownership structures of German firms changed significantly. The paper examines the phenomenon of changing ownership structures by studying blockholdings of German large caps between 1997 and 2006. It examines the dynamics of blockholdings by analyzing the evolution of free float and block trades, where at least 5% of voting rights change hands. Two findings emerge. First, the authors find that free float increases from 65% in 1997 to 75% in 2006, mainly caused by German financials and German government entities. Simultaneously, they observe a surprisingly high number of block trades: on average 1.6 block trades per firm from 1997 to 2006. Second, the authors find that particularly individuals and German industrials are guarantors for a stable ownership structure. German financials or German government entities as blockowners increase the free float and the likelihood of block trades. Moreover, block trades are more likely to occur in firms having foreign investors as owners. The findings are of interest with respect to the evolution of the so-called ‘Deutschland AG’ but also with respect to the current anchor shareholder discussion

Verluste trotz steigender Kurse?: Probleme der Perfomancemessung bei Zinsaenderungen

Summary in EnglishAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 1106 (2) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman

Unternehmensbewertung unter Unsicherheit, Sicherheitsaequivalent- oder Risikozuschlagsmethode?

Summary in EnglishAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 1106 (21) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman

Preisfindung und Vertragsbedingungen bei MBO-Privatisierungen in Sachsen

Summary in EnglishAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 1106 (18) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman

IPO's: optimale Preisstrategien fuer Emissionsbanken mit Hilfe von Anbot-Modellen

Summary in EnglishAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 1106 (11) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman