De Facto Seniority, Credit Risk, and Corporate Bond Prices
研究了债券在其发行人债务期限结构中的位置对信用风险的影响，发现到期较晚的债券信用风险更高，收益率利差更大，与股票联动性更强，对投资级债券影响显著。
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.