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On Makeham's formula and xed income mathematics

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Author Info
Jensen, Bjarne Astrup (Department of Finance, Copenhagen Business School)
Abstract

The return on a bond investment comes from three sources: Interest payments, real-

ized capital gains and accrued capital gains. We provide an exact description on how

the capital gains can be measured under a variety of accounting rules for measuring

accruals and study the theoretical properties of such rules, their taxation consequences

and the relation between the yield before tax and the yield after tax. The vehicle of

our exposition is Makeham's formula, an actuarial formula for the present value of a

payment stream largely neglected in the nance literature.

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File URL: http://ir.lib.cbs.dk/download/ISBN/8790705297.pdf
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Publisher Info
Paper provided by Copenhagen Business School, Department of Finance in its series Working Papers with number 1999-13.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 24 pages
Date of creation: 15 Oct 1999
Date of revision:
Handle: RePEc:hhs:cbsfin:1999_013

Contact details of provider:
Postal: Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark
Phone: +45 3815 3815
Email:
Web page: http://www.cbs.dk/departments/finance/
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Related research
Keywords: Makeham's formula; consistent accounting schemes; accrued capital gains; yield be- fore tax and yield after tax.;

Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May. [Downloadable!] (restricted)
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