An Equilibrium Model of Asset Pricing with Progressive Personal Taxes
在连续时间框架下研究累进个人所得税如何影响均衡资产定价模型，发现累进税制下风险资产的预期超额收益率与消费增长率和投资者财富变化的协方差正相关，且无税模型会低估该收益率。
This paper examines how the progressive personal tax rate affects the equilibrium asset pricing model. In a continuous-time framework with progressive taxation, it can be shown that the expected excess rate of return on a risky asset is an increasing function of (i) the covariance of asset return with aggregate consumption rate changes, and (ii) the covariance of asset return with the aggregation of individual wealth change, weighted by the investor's tax scheme progressivity index. The capital asset pricing model derived in the absence of tax is shown to understate the expected excess rate of return and to have a misspecification error under the progressive tax scheme. Furthermore, the expected excess rate of return can be decomposed as the consumption risk premium and tax premium. The tax premium depends on the tax structure prevailing in the economy.