@phdthesis{Krause2018, author = {Krause, Marko Volker}, title = {Tax effects on asset prices}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:co1-opus4-49648}, school = {BTU Cottbus - Senftenberg}, year = {2018}, abstract = {In this dissertation I treat questions of asset pricing under the presence of taxes. I present four published articles. The first three articles are concerned with topics of company valuation when debt is risky. The first article analyzes the applicable discount rate for the valuation of tax savings in a simple setting without taxes on cancelled debt. The article concludes that the discount rate of tax savings is the same as the one for interest payments. Other than frequently assumed, this discount rate is not necessarily the same as the discount rate for debt as a whole. With the prioritization of interest or principal payments in case of losses on debt payments, the discount rates on interest payments and of tax savings are regularly different from the one for the overall debt issue. Only a pro rata distribution of losses on principal and interest payments generally leads to equal discount rates for interest payments, principal payments, and, therefore, also for debt payments as a whole. The second article continues to look at the valuation of tax savings. It differentiates the case with and the one without the taxation of cancelled debt. For both cases, the article derives equations for the value of tax savings as well as for risk-adjusted discount rates and WACC-like equations. A major finding is that the previous corporate finance literature on this topic usually makes the implicit assumption that cancelled debt is taxed. In this case valuation equations have a simple form since they are independent from the distribution of losses between interest and principal payments. Without the taxation of cancelled debt, the distribution of losses on interest and principal payments becomes important for the valuation procedures and a differentiation between cases such as interest prioritization, principal prioritization and pro rata loss distribution is necessary. The third article uses the findings of the first two articles and constructs equations for a de- and re-levering procedure using the expected return equations from the mean-variance CAPM. It extends the regularly used procedure that uses the assumption of risk-free debt to simple settings with risky debt. The forth article looks at two economies, which differ only with respect to taxation - one features taxes on capital gains and one does not. The analysis leads to several extensions on prior findings on the question of the conditions under which asset prices are the same in both economies. The article provides sufficient conditions for unchanged prices for the case of a zero risk-free rate, which entails that all agents consume exactly the same in each state. Without a zero risk-free rate, prices are the same in both economies with exponential utility and normal returns and with linear marginal utility.}, subject = {Asset pricing; Tax; Risky debt; Cancellation of debt; Stochastic discount factor; Verm{\"o}genstitelbewertung; Erlassene Schulden; Riskante Schulden; Stochastischer Diskontfaktor; Steuern; Capital-Asset-Pricing-Modell; Unternehmensbewertung; Finanzierung; Schulden; Steuerwirkung}, language = {en} }