The Slope of the Credit Yield Curve for Speculative‐Grade Issuers
通过匹配同一发行人、同等优先级但不同期限的债券，控制信用质量后，发现高风险债券的信用收益率曲线通常向上倾斜，与以往研究相反，并揭示样本选择偏差问题。
Many theoretical bond pricing models predict that the credit yield curve facing risky bond issuers is downward‐sloping. Previous empirical research (Sarig and Warga (1989), Fons (1994)) supports these models. Our study examines sets of bonds issued by the same firm with equal priority in the liability structure, but with different maturities, thus holding credit quality constant. We find, counter to prior research, that risky bonds typically have upward‐sloping credit yield curves. Moreover, when we combine our matched sets of bonds (no longer controlling credit quality), the estimated slope is negative, indicating a sample selection bias problem associated with maturity.