Journal of Financial Economics Vol. 13 No. 3 1984
Arbitrage pricing, transaction costs and taxation of capital gains
Abstract
This paper examines one of the few cases of seemingly redundant securities: sets of three government bonds with the same maturity date. Within the bounds on relative bond prices established by tax-exempt investors in a market with proportional transaction costs, the taxation of capital gains on the basis of realization has a significant impact on relative prices. The empirical evidence supports the tax option effect discussed by Constantinides and Ingersoll, but does not generally support the segmented tax-clientele equilibrium discussed by Schaefer.
- DOI
- 10.1016/0304-405x(84)90003-5
- Volume
- 13
- Issue
- 3
- Pages
- 337-351
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref