Assume you paid a higher tax on income than on capital gains. Furthermore, assume that you believed

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Assume you paid a higher tax on income than on capital gains. Furthermore, assume that you believed that prices were determined by the post tax CAPM. Now another investor comes along who believes that prices are determined by the pretax CAPM.
Demonstrate that you can make an excess return by engaging in a two-security swap with him.
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Modern Portfolio Theory and Investment Analysis

ISBN: 978-1118469941

9th edition

Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann

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