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The Pricing of Premium Bonds: Comment
The Journal of Financial and Quantitative Analysis, 1981In “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 (
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The Pricing of Premium Bonds: Reply
The Journal of Financial and Quantitative Analysis, 1981My paper, “The Pricing of Premium Bonds [2],” is the first to show deductively that the taxation of premium bonds makes it possible for yield to maturity to reach a maximum at par. My paper also supports this analytical result with empirical examples.
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Stability of price premiums for wool
2000The objective of this study was to determine whether long-run relationships existed between price premiums for wools with different fibre diameters. Based on cointegration analysis using monthly data from 1976.8 to 1999.10, the results showed that price premiums, in relative price terms, for fibre diameters between 19 and 23 micron were cointegrated ...
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Inflation and the Relative Price Premium
SSRN Electronic Journal, 2023Yun Joo An +3 more
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