Marc Steffen Rapp, Bernhard Schwetzler

• Abstract In a recent contribution Jörg Wiese discusses the problem of how to adopt a version of the single-period Tax-CAPM of Brennan (1970) for multiperiod valuation problems. With this short note, we would like to demonstrate the following problems of Wiese’s analysis: (1) the valuation calculus proposed by Wiese does not account for capital gains taxes in period T, (2) if capital gains are consistently considered in each period, then there exists a period-independent relation between the certainty equivalent and the risk premium approach, and (3) Wiese’s claim that valuation results are insensitive with respect to assumptions concerning the timing of capital gains taxes [as long as tax deferral effects are reiested at the (perfect) capital market] does not hold for positive interest rates. Working Paper Version: <a target="_blank" href="http://ssrn.com/abstract=933051">http://ssrn.com/abstract=933051</a>