De Facto Seniority, Credit Risk, and Corporate Bond Prices

• 成果类型: Article
• 署名作者: Bao, Jack; Hou, Kewei
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx082
• 发表日期: 2017
• 页码: 4038
• 关键词: cross-section; structural models; capital structure; STOCK; determinants; illiquidity; INVESTMENT; liquidity; returns; SPREAD

摘要

We study the effect of a bond's place in its issuer's maturity structure on credit risk. Using a structural model as motivation, we argue that bonds due relatively late in their issuers' maturity structure have greater credit risk than do bonds due relatively early. Empirically, we find robust evidence that these later bonds have larger yield spreads and greater comovement with equity and that the magnitude of the effects is consistent with model predictions for investment-grade bonds. Our results highlight the importance of bond-specific credit risk for understanding corporate bond prices.