Tax Clienteles and Asset Pricing
分析资产收益税收如何产生客户群效应，区分三种情况：所有投资者对所有资产边际、部分投资者对所有资产边际、无投资者对所有资产边际，并探讨对资产定价和鞅结果的影响。
ABSTRACT Taxation of asset returns can create various clientele effects. If every agent is marginal on all assets, no clientele effects arise. If some (but not every) agent is marginal on all assets, there arises a clientele effect in quantities but none in prices. If no agent is marginal on all assets, there arise clientele effects in both quantities and prices. In the first two cases, standard asset pricing and martingale results extend to analogous aftertax results. In the third case, linear asset pricing works only on subsets of assets, and the standard martingale results become after‐tax supermartingale results.