Hostname: page-component-848d4c4894-4rdrl Total loading time: 0 Render date: 2024-07-03T16:51:36.105Z Has data issue: false hasContentIssue false
  • English
  • Français

Capital Asset Pricing with Proportional Transaction Costs

Published online by Cambridge University Press:  06 April 2009

Frank Milne  and
Clifford W. Smith Jr
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Benston, G. J., and Smith, C. W. Jr “A Transactions Cost Approach to the Theory of Financial Intermediation.” Journal of Finance, Vol. 31, No. 2 (05 1976), pp. 215–231.Google Scholar
[2]Black, F. “Capital Market Equilibrium with Restricted Borrowing.” Journal of Business (07 1972), pp. 444–454.CrossRefGoogle Scholar
[3]Brennan, M. J. “Capital Market Equilibrium with Divergent Borrowing and Lending Rates.” Journal of Financial and Quantitative Analysis (12 1971), pp. 1197–1205.CrossRefGoogle Scholar
[4]Fama, E. F. and Miller, M.. The Theory of Finance. New York: Holt, Rinehart and Winston (1972).Google Scholar
[5]Lintner, J. “The Aggregation of Investors' Diverse Judgment and Preferences in Purely Competitive Security Markets.” Journal of Financial and Quantitative Analysis, Vol. 4, No. 4 (12 1969), pp. 347–400.Google Scholar
[6]Magill, M. J. and Constantinedes, G. M.. “Portfolio Selection with Transaction Costs.” Journal of Economic Theory (1976), pp. 245–263.CrossRefGoogle Scholar
[7]Magill, M. J. and Constantinedes, G. M.. “The Preferability of Investment through a Mutual Fund.” Journal of Economic Theory (1976), pp. 264–271.CrossRefGoogle Scholar
[8]Mayers, D. “Non–Marketable Assets and Capital Market Equilibrium under Uncertainty.” In Studies in the Theory of Capital Markets (Jensen, M.C., ed.). New York: Praeger (1972).Google Scholar
[9]Mayers, D.. “Non–Marketable Assets and the Determination of Capital Asset Prices in the Absence of a Riskless Asset.” Journal of Business, Vol. 46, No. 2, pp. 258–267.CrossRefGoogle Scholar
[10]Milne, F. “On the Operation of Financial Markets with Transaction Costs.” Mimeo (1977).Google Scholar
[11]Mossin, J. “Equilibrium in a Capital Asset Market.” Econometrica, Vol. 34, No. 4 (10 1966), pp. 768–783.Google Scholar
[12]Sharpe, W. F. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, Vol. 19, No. 3 (09 1964), pp. 425–442.Google Scholar
[13]Treynor, J. L. “Toward a Theory of Market Value of Risky Assets.” Unpublished manuscript (1961).Google Scholar