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In a model where both investors and securities are subject to different ial taxation, there may be no set of prices that rule out infinite ga ins to trade, or "tax arbitrage." This paper characterizes the join t restrictions on financial-asset returns and investors' tax schedule s that preclude tax arbitrage in the absence of short-sale constraint s. The authors show that if there exists any configuration of margina l tax rates on investors' tax schedules that rule out infinite gains to trade, then "no-tax-arbitrage" prices will exist. They also show that the existence of "no-tax-arbitrage" prices ensures the existe nce of equilibrium prices.