The Relative Pricing of High-Yield Debt: The Case of RJR Nabisco Holdings Capital Corporation
研究RJR纳贝斯克控股资本公司三种仅在付息方式上不同的债券，发现市场定价存在持续且显著的错误，现金付息债券始终比实物付息或递延付息债券更贵，且定价误差无法用市场不完美解释。
We derive and investigate empirically arbitrage pricing restrictions among three bonds of RJR Nabisco Holdings Capital Corporation. The three RJR bonds are virtually identical in all respects, except for the form in which interest is paid. We document large and persistent errors in the market pricing of the three bonds over a two-year period. The cash-paying bond was consistently more expensive than either the pay-in-kind or deferred-coupon bonds. The magnitude of the pricing errors is too large to be explained by market imperfections.