相关论文: Taxation and Valuation
This submission to the Irish Commission on Taxation and Welfare advocates the introduction of a site value tax in Ireland. Ireland has high and volatile property prices, constraining social and economic development. Site values are the main…
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains…
Tax evasion causes severe losses of government revenues and disturbs the economic order of fair competition. To help alleviate this problem, the latest tax evasion detection solutions utilize expert knowledge to extract features and then…
The efficiency of a modern economy depends on what we call the Value-Tracking Hypothesis: that market prices of key assets broadly track some underlying value. This can be expected if a sufficient weight of market participants are…
We study T. Cover's rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $\$1$ deposit into the best of…
A new source model, which consists of an intrinsic state part and an extrinsic observation part, is proposed and its information-theoretic characterization, namely its rate-distortion function, is defined and analyzed. Such a source model…
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government…
A rate-distortion problem motivated by the consideration of semantic information is formulated and solved. The starting point is to model an information source as a pair consisting of an intrinsic state which is not observable,…
Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source…
A complete description of taxation systems that ensure sustainable economic development is given. These tax systems depend on production technologies and gross output volumes. Explicit formulas for such dependencies are found. In a…
We propose a practical and robust method for making inferences on average treatment effects estimated by synthetic controls. We develop a $K$-fold cross-fitting procedure for bias correction. To avoid the difficult estimation of the…
We present a broad agenda for meaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of international financial system through the introduction of fair competition process…
We argue that the recent growth in income inequality is driven by disparate growth in investment income rather than by disparate growth in wages. Specifically, we present evidence that real wages are flat across a range of professions,…
The analysis of the theoretical material revealed the lack of consensus on defini-tion of the tax stimulation of innovation-active business entities within the re-gional taxation. The definition tax stimulation of innovation-active business…
We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors alone suffice to explain corporate bond risk premia once their Treasury term structure risk…
When an insurance note is also a derivative a serious problem arises because a derivative must be fulfilled immediately. This feature of derivatives prevents claims processing procedures that screen out ineligible claims. This, in turn,…
We discuss the problem of facilitating tax auditing assuming "programmable money", i.e., digital monetary instruments that are managed by an underlying distributed ledger. We explore how a taxation authority can verify the declared returns…
Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…