作者：Bao, Jack; Hou, Kewei
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University
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 res...
