Corporate tax, financial leverage, and portfolio risk
- 주제(키워드) Corporate tax , Financial leverage , Portfolio risk , Stock return
- 등재 SSCI, SCOPUS
- 발행기관 Elsevier Inc.
- 발행년도 2020
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000168618
- 본문언어 영어
- Published As https://dx.doi.org/10.1016/j.najef.2020.101264
- 저작권 이화여자대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
We examine the theoretical implications of corporate income tax for a risky portfolio in a aggregate-endowment economy. In this model, corporate income tax affects the portfolio risk associated with the rebalancing motive during market clearance. An asset is defined as a portfolio of stocks and bonds whose portfolio weights are similar to financial leverage. Corporate tax can decrease after-tax consumption from dividends (increase leverage) and increase the tax shield that increases dividends (decrease leverage). Changes in dividends are responsible for the correlation between expected dividend growth and consumption growth and, thus, affect stock pricing and returns. Overall, the model is characterized by tax-induced portfolio risk associated with financial leverage. © 2020 Elsevier Inc.
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