NDLI: A multi period valuation using tax-CAPM and the concept of cost of capital

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Helmedag, Fritz; Reuter, Norbert (Hrsg.): Der Wohlstand der Personen. Festschrift zum 60. Geburtstag von Karl Georg Zinn : Metropolis Verlag für Ökonomie Gesellschaft und Politik GmbH, Marburg 1999, 589 S., brosch., 28,- €

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Zeitschrift für Betriebswirtschaft : Volume 76, Issue 11, November 2006

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A multi period valuation using tax-CAPM and the concept of cost of capital

Content Provider	Springer Nature Link
Author	Mai, Jan Markus
Copyright Year	2006
Abstract	Aus der Empfehlung des IDW, die für die Unternehmensbewertung mittels der DCF-Verfahren erforderlichen Kapitalkosten aus dem einperiodigen Tax-CAPM abzuleiten, ergibt sich die Notwendigkeit, dieses Modell mehrperiodig anzuwenden. Sowohl die hierzu erforderlichen Prämissen als auch die Struktur der aus der mehrperiodigen Anwendung resultierenden Bewertungsgleichungen sind bislang ungeklärt. Der vorliegende Beitrag spezifiziert ein mehrperiodiges Tax-CAPM, welches zur Bewertung mehrperiodiger stochastischer Cash-Flows bei differenzierter Besteuerung von Zinsen, Dividenden und Wertänderungen eingesetzt werden kann. Die aus der Anwendung dieses Modells resultierenden Bewertungsgleichungen ermöglichen die Abbildung sowohl des Risikos als auch der Besteuerung einer durch den Kapitalmarkt bestimmten Alternativanlage mittels deterministischer Diskontierungsfaktoren, welche die Kapitalkosten der zu bewertenden Cash-Flows darstellen. Unter den restriktiven Prämissen des vorliegenden Modells ist es demnach möglich, die Einkommensbesteuerung der Kapitalgeber konsistent in die DCF-Verfahren zu integrieren.The IDW proposes to derive the cost of capital, that are required for valuation with the DCF-approach, by using the single-period Tax-CAPM. This requires a multi period application of the model. The required assumptions as well as the structure of the valuation equation, that results from the multi period application, are not clear so far. The paper specifies a multi period Tax-CAPM, that can be applied to valuate multi-period stochastic cash-flows, when interest income, dividend income and capital gains are taxed differently. The resulting valuation equation allows to model both the risk and the taxation of a market-determined alternative investment with deterministic discount rates. These discount rates represent the cost of capital of the cash-flows, that have to be valued. Within the restrictive assumptions of the model, it is therefore possible, to integrate the taxation of shareholders with income-tax consistently into the DCF-approach.
Starting Page	1225
Ending Page	1253
Page Count	29
File Format	PDF
ISSN	00442372
Journal	Zeitschrift für Betriebswirtschaft
Volume Number	76
Issue Number	12
e-ISSN	18618928
Language	English
Publisher	Gabler Verlag
Publisher Date	2006-12-01
Publisher Place	Wiesbaden
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Taxation, Subsidies, and Revenue: General Multi period Tax-CAPM cost of capital taxation income-tax Business and Management Operations Management Organization Human Resource Management Accounting/Auditing Business Taxation/Tax Law
Content Type	Text
Resource Type	Article
Subject	Business and International Management Economics and Econometrics

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