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This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as: fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...
Persistent link: https://www.econbiz.de/10013039214
We derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...
Persistent link: https://www.econbiz.de/10012776302
We provide a price characterization of efficient contingent claims - i.e., chosen by at least a rational agent-in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling and borrowing costs. We characterize the inefficiency cost of a...
Persistent link: https://www.econbiz.de/10012787941
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...
Persistent link: https://www.econbiz.de/10012749971
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the...
Persistent link: https://www.econbiz.de/10012750508
Persistent link: https://www.econbiz.de/10005374198
Persistent link: https://www.econbiz.de/10008223517
In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...
Persistent link: https://www.econbiz.de/10014224891
Persistent link: https://www.econbiz.de/10005158836
We provide a price characterization of efficient contingent claims--that is, chosen by at least a rational agent--in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency cost...
Persistent link: https://www.econbiz.de/10005564135