From a CAPM-type model the cost of equity is derived for a ...rm operating under various foreign tax systems. The ...rm’s shares are traded in a market which is una¤ected by these systems. The cost of capital depends on the foreign tax system, even for fully equity ...nanced projects. This is neglected in much of the literature. For a corporate income tax the main factor which reduces the cost ...

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT mo deI by using the difference between the 3~day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during thi...

Traditional financial asset lease operates in an asset provider centred mode, inwhich financiers passively provide financial solutions to the customers of their allied asset vendors. To capture the highly customised asset lease demands from the mass market, this paper advocates adopting a financier-led asset lease model shifting the asset lease to be customer-oriented. In this model, a financie...

Is Beta Dead?” (Wallace [1980]) and other recent articles have asked whether broad consequences, disastrous to modern investment technology, would result from misspecification of the Capital Asset Pricing Model (CAPM), or worse yet, from falsehood of the model. The criticisms have cited imprecise specification of the market portfolio as a misapplication of the CAPM, and have emphasized the diff...

The paper shows that turnover proxies for firm-specific uncertainty, not liquidity risk. I show that turnover is unrelated to several alternative measures of liquidity risk and that liquidity risk factors cannot explain why higher turnover predicts lower future returns. I show that, because high turnover firms have high uncertainty, high turnover firms beat the CAPM when aggregate volatility in...

By exploiting the structural tax rate changes created by the Bush-era tax acts in 2001 and 2003, this study offers a first direct investigation of how the differential taxation of financial assets affects households’ asset location and allocation into taxable and tax-deferred accounts in a natural experimental framework. Because bonds are heavily taxed assets, relative to stocks, and tax treatm...

We study the relative risk of value and growth stocks. We find that time-varying risk goes in the right direction in explaining the value premium. Value betas tend to covary positively, and growth betas tend to covary negatively with the expected market risk premium. Our inference differs from that of previous studies because we sort betas on the expected market risk premium, instead of on the ...

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default, and the timeless capital asset pricing model (CAPM) which measures additional ret...

Intellectual Capital (IC) has been proposed by Edvinsson and Malone (1997) as a technique for quantifying a company's intangible assets. A careful analysis can result in hundreds of variables, and extracting knowledge from these measurements can be difficult. We introduce a knowledge management technique called IC mapping that attempts to synthesize this data into a fitness landscape. Using the...