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Capital Asset Pricing with Proportional Transaction Costs

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  • Milne, Frank
  • Smith, Clifford W.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 15 (1980)
Issue (Month): 02 (June)
Pages: 253-266

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Handle: RePEc:cup:jfinqa:v:15:y:1980:i:02:p:253-266_00

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Cited by:
  1. Frank Milne & Edwin Neave, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Working Papers 1082, Queen's University, Department of Economics.
  2. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
  3. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.

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