Term Structure Multiplicity and Clientele in Markets with Transactions Costs and Taxes
The authors investigate term structure with realistic transactions costs and taxes. Its properties are derived from a certain no- arbitrage condition via duality theory in convex programming. Transac tions costs imply an infinite multiplicity of term structures. A simp le example with realistic transactions costs shows that this multipli city can induce a valuation range of over 277 basis points. Transacti ons costs also allow equilibrium without short-sale restrictions. The authors find the minimum transactions costs that prevent arbitrage. Each investor is shown to have a new type of clientele effect, called a weak long or a weak short clientele effect, for each bond. Copyright 1988 by American Finance Association.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 43 (1988)
Issue (Month): 4 (September)
|Contact details of provider:|| Web page: http://www.afajof.org/|
More information through EDIRC
|Order Information:||Web: http://www.afajof.org/membership/join.asp|