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Tax inefficiency is a matter of how many fiefs you own and what kind of fiefs you have.
In short, all fiefs add to your tax inefficiency. More fiefs = More ineffieciencies. Each type of fief (town, castle, village) pays different rates to the player. By having only towns, your tax inefficiency will hurt the least (towns pay the most); With only villages, it hurts the most (villages pay the least).
A wise strategy is to have only towns. Once you get to around five or so, the benefits begin to diminish, even with more towns. It's the "Law of Diminishing Returns" at work.
Depending upon the version of the game you are playing, getting rid of fiefs can be tricky. If you can't return them to your liege and you are not a liege yourself who can just give them away, you might have to orchestrate the fall of the castle that controls the village you want to rid yourself of, etc.
The first fief is a gimme but as you add more, the tax inefficiency grows until it eats up all of your profits. This is why your King is probably offering you fiefs like they were going out of style. It's not actually because you are awesome, it's because you don't know any better.
Don't let them cripple you by "giving" you all the crappy villages that get burned every other day.
Edit - Of course, there are times when your faction is so inept that you might want to take a castle because of its strategic value, just to make sure the enemy can't take it back easily.
♥♥♥♥♥♥'ell. I hope this is different in bannerlord. I mean, I am all up for tax inefficiency, but I would imagine whipping your peasants into shape by sending a company of hardass knights to...encourage...them to be more efficient would be a thing.
Nope.
Yup.
The way I see it is that you have an increasingly complex bureaucracy developing. With one fief, you can manage it and collect the taxes yourself. When you add more, you need to start relying upon other people to help you manage things. Tax collectors, enforcers, sherrifs, reeves and castellans, etc. Each new person adds a new level of risk in terms of capability and reliability. Tax ineffeciency represents the "cost of doing business", basically.
I hope Bannerlord gives players options for ways to mitigate these problems. Proximity, improvements, high relations, etc. are all things that should count for something.