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Capital Asset Pricing with Proportional Transaction Costs

Published online by Cambridge University Press:  06 April 2009

Frank Milne  and
Clifford W. Smith Jr
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Extract

The implications for portfolio behavior and asset prices of transaction costs are central to the analysis of numerous issues in economics. For example, questions involving the demand for the financial contracts issued by financial intermediaries are intimately tied to the existence of transaction costs. Thus the analysis of questions involving the nature of the demand for mutual fund shares, insurance contracts, mortgage loans, etc., and the form those contracts take require the explicit inclusion of transaction costs.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 2 , June 1980 , pp. 253 - 266
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

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