| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8330 |
| DP8330 Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios | |
| Kjell Nyborg; Peter Molnár | |
| 发表日期 | 2011-04-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Cooper and Nyborg (2008) derive a tax-adjusted discount rate formula under a constant proportion leverage policy, investor taxes and risky debt. However, their analysis assumes zero recovery in default. We extend their framework to allow for positive recovery rates. We also allow for differences in bankruptcy codes with respect to the order of priority of interest payments versus repayment of principal in default, which may have tax consequences. The general formula we derive differs from that of Cooper and Nyborg when recovery rates in default are anticipated to be positive. However, under continuous rebalancing, the formula collapses to that of Cooper and Nyborg. We provide an explanation for why the effect of the anticipated recovery rate is not directly visible in the general continuous rebalancing formula, even though this formula is derived under the assumption of partial default. The errors from using the continuous approximation formula are sensitive to the anticipated recovery in default, yet small. The "cost of debt" in the tax adjusted discount rate formula is the debt?s yield rather than its expected rate of return. |
| 主题 | Financial Economics |
| 关键词 | Cost of debt Partial default Personal taxes Risky debt Tax shields Tax-adjusted discount rates |
| URL | https://cepr.org/publications/dp8330 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537157 |
| 推荐引用方式 GB/T 7714 | Kjell Nyborg,Peter Molnár. DP8330 Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios. 2011. |
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