Leverage Expectations and Bond Credit Spreads
研究发现，投资者对未来杠杆变化的预期显著影响债券收益率，且权衡理论、啄序理论和信用评级理论均得到实证支持，表明投资者在定价时视这些理论为互补。
Abstract In an efficient market, spreads will reflect both the issuer’s current risk and investors’ expectations about how that risk might change over time. Collin-Dufresne and Goldstein (2001) show analytically that a firm’s expected future leverage importantly influences the spread on its bonds. We use capital structure theory to construct proxies for investors’ expectations about future leverage changes and find that these significantly affect bond yields, above and beyond the effect of contemporaneous leverage. Expectations under the trade-off, pecking order, and credit-rating theories of capital structure all receive empirical support, suggesting that investors view them as complementary when pricing corporate bonds.