The value of tax shields IS equal to the present value of tax shields

Fernandez [2004b. The value of tax shields is not equal to the present value of tax shields. Journal of Financial Economics 73, 145–165] argues that the present value effect of the tax saving on debt cannot be calculated as simply the present value of the tax shields associated with interest. This contradicts standard results in the literature. It implies that, even though the capital market is complete, value-additivity is violated. As a consequence, adjusted present value formulae of a standard sort cannot be used. Also, Fernandez's argument implies that the value of the tax saving differs from conventional estimates by a considerable amount. We reconcile Fernandez's results with standard valuation formulae for the tax saving from debt. We show that, as one would expect, the value of the debt tax saving is the present value of the tax savings from interest. The apparent violation of value-additivity in the Fernandez paper comes from mixing the Miles and Ezzell and Miller and Modigliani leverage policies.     

On the determinants of bank interest margins under credit and interest rate risks

This paper explores the determinants of optimal bank interest margins based on a simple firm-theoretical model under multiple sources of uncertainty and risk aversion. The model demonstrates how cost, regulation, credit risk and interest rate risk conditions jointly determine the optimal bank interest margin decision. We find that the bank interest margin is positively related to the bank's market power, to the operating costs, to the degree of credit risk, and to the degree of interest rate risk. An increase in the bank's equity capital has a negative effect on the spread when the bank faces little interest rate risk. The effect of rising interbank market rate on the spread is ambiguous and depends on the net position of the bank in the interbank market. Our findings provide alternative explanations for the empirical evidence concerning bank spread behavior.     

On interest rates,inflationary expectations and tax rates

This paper provides new evidence on the relationship between inflation and the rate of interest for the United States during the 1953–1984 period. The results indicate that contrary to most previous studies, the Fisher hypothesis is inverted, which means that it is the real rate of interest rather than the nominal rate that moves inversely to the rate of inflation. However, this is the case only during periods of relatively stable inflation rates and moderate regulatory change. Over longer periods when factors are more volatile the inverted Fisher hypothesis is rejected.     

Value and capacity of tax shields: An analysis of the slicing approach

Correctly valuing tax shields has been a challenge in corporate valuation. A recent study by Liu (2009) introduces the slicing approach to separating the tax shield into the earned and unearned parts. Liu also shows that the MM results are wrong, and claims that the slicing approach has finally resolved the issue of pricing tax shields, thereby bringing closure to the topic. However, through careful analysis, we refute Liu’s main claims and restore the MM results. There are still open questions and the topic is not completely resolved as claimed in Liu (2009).     

Relationship between tax compliance internationally and selected determinants of tax morale

Tax compliance has been studied by analyzing the individual decision of a representative person between planning and evading taxes. A neglected aspect of tax compliance is the impact of a social contract on tax morale. Such implicit contract between the individual and the state guaranteeing a high level of economic freedom, effective competition laws, an important equity market and high moral norms, is hypothesized to have a positive impact on tax compliance. In this paper, empirical evidence based on data from 30 countries indicate that tax compliance internationally is positively related to the level of economic freedom, the level of importance of the equity market and the effectiveness of competition laws and high moral norms.     

A reexamination of the value of tax options

This article reexamines the value of tax trading when the taxrate on long-term realizations is less than that on short-termrealizations. In particular, the value of the option to realizelong-term capital gains and repurchase stock in order to increaseone's tax basis and restart the option to realize future lossesshort term is examined empirically. Our estimate of the incrementalvalue of restarting, which is based on the results of simulationsof several alternative tax trading policies over a large numberof independent return sequences, is generally much smaller thanthat reported by Constantinides (1984). The incremental valueof restarting is shown to depend critically on the particularpattern of realized returns and the assumed tax treatment ofunrealized capital gains at the end of the simulation period.The effects of stock price volatility, transaction costs, portfoliooffset rules, and realization cutoff levels on the value oftax trading are also investigated.     

The economic determinants of interest rate option smiles

We address three questions relating to the interest rate options market: What is the shape of the smile? What are the economic determinants of the shape of the smile? Do these determinants have predictive power for the future shape of the smile and vice versa? We investigate these issues using daily bid and ask prices of euro (€) interest rate caps/floors. We find a clear smile pattern in interest rate options. The shape of the smile varies over time and is affected in a dynamic manner by yield curve variables and the future uncertainty in the interest rate markets; it also has information about future aggregate default risk. Our findings are useful for the pricing, hedging and risk management of these derivatives.     

The determinants of net interest margin during transition

Review of Quantitative Finance and Accounting - In this paper we examine the banking sector of the Central and Eastern European (CEE) countries during the transition period 1998–2016 in a...     

增值税核算与列报的思考

会计核算和列报的基本功能是全面、及时和准确反映会计主体的所有经营活动.但是,增值税的核算和列报未能准确反映会计主体代收、代付和代交增值税税款以及自行缴纳的基本特征,也未能反映会计主体增值税税款资金运行的基本特征.本文试图从企业法人财产权角度思考目前增值税核算与列报改革的方向和具体措施,以期能够为完善增值税制度提供一点帮助.     

Tax avoidance versus tax evasion: on some determinants of the shadow economy

In this paper we investigate how the possibility of (legal) tax avoidance affects the extent of (illegal) tax evasion and hence the shadow economy. We formulate a theoretical microeconomic model of household behavior in which households can participate in the official and in the shadow economy. Using comparative statics, we show that the complexity of the tax system affects participation in the shadow economy negatively, i.e. a more complex tax system with more possibilities of legal tax avoidance implies, ceteris paribus, a smaller labor supply in the shadow economy. In addition, we show that a reduction in the maximum admissible number of working hours in the official economy increases the labor supply in the shadow economy.     

Banks' interest rate risk: the net interest income perspective versus the market value perspective

We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived. (i) Changes in banks' market value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition. (ii) However, banks' portfolio composition has a huge impact on the ratio of changes in net interest income relative to changes in market value. These results are important for the design and interpretation of interest rate stress tests for banks.     

Purchasing power,interest rate parities and the modified Fisher effect in presence of tax agreements

This paper shows that in a world with different rates of inflation and taxation, in the presence of an international tax agreement, the simultaneous coexistence of the purchasing power parity mechanism, the interest rate parity mechanism, and the revised Fisher effect is impossible. The analysis reveals a possible inherent instability of interest rates and exchange rates generated by inflation. This instability is greater the larger the tax rate differentials among countries.     

The determinants of bank interest rate margins: an international study

This paper studies the determinants of bank net interest margins (NIMs) in six selected European countries and the US during the period 1988–1995 for a sample of 614 banks. We apply the Ho and Saunders model (Ho, T., Saunders, A., 1981. The determinants of bank interest margins: theory and empirical evidence. Journal of Financial and Quantitative Analyses 16, 581–600) to a multicountry setting and decompose bank margins into a regulatory component, a market structure component and a risk premium component. The regulatory components in the form of interest-rate restrictions on deposits, reserve requirements and capital-to-asset ratios have a significant impact on banks NIMs. The empirical results suggest an important policy trade-off between assuring bank solvency—high capital-to-asset ratios—and lowering the cost of financial services to consumers—low NIMs. The more segmented or restricted the banking system—both geographically and by activity—the larger appears to be the monopoly power of existing banks, and the higher their spreads. Macro interest-rate volatility was found to have a significant impact on bank NIMs; this suggests that macro policies consistent with reduced interest-rate volatility could have a positive effect in reducing bank margins.     

The determinants of high‐interest entrusted loans in China

We examine the determinants of high‐interest entrusted loans in China from the perspective of corporate risk‐taking. The results of a baseline model illustrate that the propensity to offer high‐interest entrusted loans increases with loose monetary policies, corporate cash holdings and firm age, and it decreases with firm size and growth opportunity. These findings support the claim that firms offer high‐interest entrusted loans mainly for short‐term profits. Other determining factors include CEO behavior traits, market imperfections and the intensity of corporate governance. Specifically, market imperfections create an opportunity for risk‐taking while CEO behavior and the intensity of corporate governance affect a firm's tendency to take risk and engage in high‐interest entrusted loans.     

Organizational capital,corporate tax avoidance,and firm value

We show that firms with higher levels of organizational capital (OC) exhibit higher levels of tax avoidance and that shareholders view tax avoidance of high OC firms as value-enhancing. We also show that the OC-tax avoidance relation mainly manifests in firms with good internal governance and information environment and in firms that face tight financial constraints. In addition, we document that tax avoidance by high OC firms increases future cash flow and that high OC firms are more likely to invest in tax haven subsidiaries. Overall, our evidence suggests that OC enhances firms' tax efficiency.     

人民币隔夜利率指数及其信息价值

本文以隔夜SHIBOR为基准,借鉴美国隔夜指数互换期货,首次提出了人民币隔夜利率指数以及指数隐含利率。通过研究指数与期限利率的信息传递关系,构建指数和指数隐含利率动态数据,分析了指数的信息价值。研究结果认为,人民币隔夜利率指数衍生品能有效对冲隔夜利率风险,促进金融市场信息效率,强化各期限利率关系。指数的信息价值包括:预测市场利率变化趋势,预测货币政策,定量刻画银行体系风险溢价水平。     

合理避税的界限和策略

企业合理避税的界限避税有一个法律界限,有的纳税人筹划不当构成避税,被税务机关按规定调整应纳税金额,未能达到节税目的;有的纳税人筹划失误形成偷税,不仅没有达到节税目的,反而受到行政处罚甚至被刑事制裁。避税还有一个道德界限,一方面,因其并不违反税法的相关规定,故具有非     

台湾地区房屋土地保有环节税收情况

台湾地区对土地和房屋分别征税,在保有和交易环节分别设置税种。本文在介绍台湾地区房屋、土地保有环节税收情况的基础上,对大陆地区房地产税收征管工作提出了几点建议。