Term Structure Multiplicity and Clientele in Markets with Transactions Costs and Taxes
研究现实交易成本和税收下的期限结构，发现交易成本导致无限多的期限结构，并可能产生超过277个基点的估值范围，同时建立弱客户群存在的条件。
ABSTRACT The authors investigate term structure with realistic transactions costs and taxes. Its properties are derived from a certain no‐arbitrage condition via duality theory in convex programming. Transactions costs imply an infinite multiplicity of term structures. A simple example with realistic transactions costs shows that this multiplicity can induce a valuation range of over 277 basis points. Transactions costs also allow equilibrium without short sale restrictions. The authors find the minimum transactions costs that prevent arbitrage. In addition, the exact conditions for weak clientele, in which investors will not buy some bonds and may not sell any that they already hold, are established.