Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere

Stefan Jaschke, Richard Stehle and Stephan Wernicke
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Stefan Jaschke: Weierstraß-Institut für Angewandte Analysis und Stochastik
Richard Stehle: Humboldt-Universität zu Berlin
Stephan Wernicke: Bankgesellschaft Berlin AG

Schmalenbach Journal of Business Research, 2000, vol. 52, issue 5, 440-468

Abstract: Summary The duality relation between arbitrage maximization and term structure regression suggests minimax regression. If short selling is possible, the arbitrage theory implies that the maximal fitting error is bounded by the size of transaction costs. If, on the other hand, short selling is not possible and capital gains and interest are taxed differently, then a tax clientele effect may exist and the present value equation may be inadequate as a regression equation. In the mid-eighties the price discrepancies among German government bonds are so large — compared to actual transaction costs that one can say that a single term structure that explains all prices of those bonds as present values does not exist. Imperfect data, round lot and short selling constraints cannot fully explain the observed price discrepancies. The size and persistence of the price discrepancies from the viewpoint of a tax-free investor suggests that the computation of implied zero bond prices from German government bonds in the whole period from 1977 to 1996 is incomplete without the consideration of taxes.

Date: 2000
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DOI: 10.1007/BF03372625

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