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Capital Asset Pricing with Proportional Transaction Costs

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  • Milne, Frank
  • Smith, Clifford W.

Abstract

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.

Suggested Citation

  • Milne, Frank & Smith, Clifford W., 1980. "Capital Asset Pricing with Proportional Transaction Costs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 253-266, June.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:02:p:253-266_00
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    Cited by:

    1. Peter Hartley, 1986. "Portfolio Theory and Foreign Investment ? The Role of Non‐Marketed Assets," The Economic Record, The Economic Society of Australia, vol. 62(3), pages 286-295, September.
    2. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
    3. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
    4. Chalmers, John M. R. & Kadlec, Gregory B., 1998. "An empirical examination of the amortized spread," Journal of Financial Economics, Elsevier, vol. 48(2), pages 159-188, May.
    5. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.

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