Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets
研究在投资者和证券面临不同税率时，如何避免无限套利机会，并证明无税收套利价格的存在能确保均衡价格的存在。
ABSTRACT In models where both investors and securities are subject to differential taxation, there may be no set of prices that rule out infinite gains to trade, or "tax arbitrage." This paper characterizes the joint restrictions on financial-asset returns and investors' tax schedules that preclude tax arbitrage in the absence of short-sale constraints. The authors show that, if there exists any configuration of marginal tax rates on investors' tax schedules that rule out infinite gains to trade, then "no-tax-arbitrage" prices will exist. They also show that the existence of "no-tax-arbitrage" prices ensures the existence of equilibrium prices.