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Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt - Ein Binomialbaummodell

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Altrock, F. Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt - Ein Binomialbaummodell. Credit and Capital Markets – Kredit und Kapital, 33(3), 410-441. https://doi.org/10.3790/ccm.33.3.410
Altrock, Frank "Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt - Ein Binomialbaummodell" Credit and Capital Markets – Kredit und Kapital 33.3, 2000, 410-441. https://doi.org/10.3790/ccm.33.3.410
Altrock, Frank (2000): Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt - Ein Binomialbaummodell, in: Credit and Capital Markets – Kredit und Kapital, vol. 33, iss. 3, 410-441, [online] https://doi.org/10.3790/ccm.33.3.410

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Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt - Ein Binomialbaummodell

Altrock, Frank

Credit and Capital Markets – Kredit und Kapital, Vol. 33 (2000), Iss. 3 : pp. 410–441

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Frank Altrock, Münster

References

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Abstract

Tax-Clientele Effects and Tax-Timing Options in the German Bond Market - A Binomial Tree Model

Tax-clientele models consider the optimization problems of differentially taxed investors under a buy-and-hold assumption whereas tax-timing option models draw on homogeneously taxed investors with the opportunity of future asset trading at (ex ante) uncertain prices. In the latter models, optimal trading strategies imply a tax postponement in certain cases. Tian’s (1996) discrete-time dynamic trading model is the first to analyze future asset trading among differentially taxed investors. In this paper, the Tian (1996)-model, which is customized for the US-investor taxation, is adopted for German taxation rules. The Niederstwertrule that applies to German corporations requires a path-dependent valuation approach. The numerical (this being another American put-option pricing problem) results are: Under German taxation rules, too, tax-clientele effects have a significant impact on simulated asset prices. However, the benefits of tax postponement do not stem from future asset trading possibilities (as under US-investor taxation) but are generated by the Niederstwert-rule. There are no tax advantages from future asset trading over a simple buy-and-hold investment policy.