Bossaerts is from the California Institute of Technology, and Dammon is from the Graduate School of Industrial Administration, Carnegie Mellon University. We are grateful for valuable discussions with Rick Green, Steve Heston, Ravi Jagannathan, Bob Miller, Ken Singleton, Chester Spatt, Stan Zin, and the seminar participants at the California Institute of Technology, Carnegie Mellon University, the Federal Reserve Bank of Cleveland, INSEAD, Massachusetts Institute of Technology, Queen's University, the Stockholm School of Economics, the University of British Columbia, University of California, Irvine, University of California, Los Angeles, University of California, San Diego, the University of Southern California, the University of Utah, and the 1990 Western Finance Association Meetings. We gratefully acknowledge the research assistance of Bernt Oedegaard and the financial support provided by a Carnegie Mellon University faculty development grant. The first author also acknowledges the hospitality of the Sloan School of Management at Massachusetts Institute of Technology, where part of this article was written. Previous versions of this article were circulated under the title “A Consumption Based Asset Pricing Model with Personal Taxes: Theory and Empirical Tests.”
Tax-Induced Intertemporal Restrictions on Security Returns
Version of Record online: 30 APR 2012
© 1994 the American Finance Association
The Journal of Finance
Volume 49, Issue 4, pages 1347–1371, September 1994
How to Cite
BOSSAERTS, P. and DAMMON, R. M. (1994), Tax-Induced Intertemporal Restrictions on Security Returns. The Journal of Finance, 49: 1347–1371. doi: 10.1111/j.1540-6261.1994.tb02457.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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