The Pricing of Premium Bonds: Comment
纠正了Livingston关于票息对到期收益率影响的错误分析，在无交易成本等假设下，以两期债券为例给出正确分析并指出其错误。
In “The Pricing of Premium Bonds, ” Livingston [4] presents an erroneous analysis of the coupon effect on yield to maturity (YTM). This comment will present a correct analysis and briefly indicate Livingston's error. Following [4], we will assume no transaction costs, etc., and confine our analysis to N-period bonds (N = 2). The prices of premium bonds (P+) and discount bonds (P−) can be represented as:whereTP = tax rate on income of marginal investors, TG = capital gains tax rate of marginal investors, A = market price of an untaxed N-period $1- annuity, D = market price of an untaxed N-period $1 discounted note, C = coupon, F = “face” or principal amount of bond, and PS, PA, PDS, and PD are the prices of the annuities and discounted notes implicitly in taxable bonds. Expressions (1) and (2) show equilibrium prices as functions of A, D, TP, and TG; cf. McCulloch [6], Caks [2], and Livingston [3, 4, 5].