The Canadian Income Tax Act induces individual investors to close their short equity option positions at the end of the year and, if necessary, reopen them at the beginning of next year. This article analyzes the conditions under which it is optimal to close or leave open a short option position...

Tax-clientele effects induce segmented equilibria and these affect the estimation of the term structure of interest rates. The identification of these effects depends on the deviations of bond prices from the value of their discounted cash flows. However, bond prices contain noise that makes it...

Most valuation theory has ignored transaction costs, has either ignored taxes or treated them ad hoc, and has used NPV to value riskless cash flows. Recently, in a new approach, transaction costs were explicitly considered, taxes were treated in more detail, and the single term structure vector...

The Canadian Income Tax Act induces individual investors to close their short equity option positions at the end of the year and, if necessary, reopen them at the beginning of next year. This article analyzes the conditions under which it is optimal to close or leave open a short option position...

We investigate the relative pricing of an innovated security called quot;instalment receiptsquot; (IRs). IRs are securities that evidence the purchase of some underlying securities on an instalment basis. Theoretically, we show that investors with borrowing restrictions will be willing to pay...

Knowledge of the term structure of interest rates is undeniably important. It enables the price of a stream of cash flows to be determined and is a key element for pricing certain types of derivative instruments including swaps and forward contracts. It is useful in the formation of economic...