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...

One of the most fundamental results in finance is the equivalence of a no-arbitrage condition to the existence of a pricing operator in markets without transaction costs (see Ross (1978)). Garman and Ohlson (1981) extended this to markets with proportional transaction costs. The current paper...

The usual notion of every future cash stream having a net present value determined from a single term structure breaks down when transaction costs are taken into account, especially the sizable costs associated with short-borrowing. the difficulties are compounded by taxes, which can lead to...

The value of a future cash stream is often taken to be its net present value with respect to some term structure. This means that a linear formula is used in which each future payment is discounted by a factor deemed appropriate for the date on which the payment will be made. In a money market...

Masulis and Trueman (1988) investigated corporate investment and dividend decisions under differential personal taxation. They assumed investors in different tax brackets, a state-preference complete market (which includes pure securities for each state) with a ban on short-selling. They...

Knowledge of the term structure (or yield curve) is undeniably important. It enables the price of a stream of cash flows to be determined. It is a key element for pricing certain types of derivative instruments. It is useful in the formation of economic policy. It can be used to calibrate the...

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...