Equilibrium pricing of special bearer bonds

dc.contributor.author	Varma, Jayanth R.
dc.date.accessioned	2010-03-31T04:00:01Z
dc.date.available	2010-03-31T04:00:01Z
dc.date.copyright	1989-08
dc.date.issued	2010-03-31T04:00:01Z
dc.identifier.uri	http://hdl.handle.net/11718/1823
dc.description.abstract	Special Bearer Bonds provide immunity to investors in respect of black money invested in them. This paper derives equilibrium prices of these bonds in a continuous time framework using the mixed Wiener-Poisson process. The Capital Asset Pricing Model (CAPM) is modified to take into account the risk of tax raids for black money investors. The pricing of all other assets relative to each other is shown to be unaffected by the presence of black money. This result extends the CAPM to capital markets like India where black money is widespread. Other applications include estimating the magnitude of black money.	en
dc.language.iso	en	en
dc.relation.ispartofseries	WP;1989/817
dc.subject	Equilibrium Prices	en
dc.subject	Bonds	en
dc.subject	Capital Asset Pricing Model (CAPM)	en
dc.title	Equilibrium pricing of special bearer bonds	en
dc.type	Working Paper	en