Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models
本文从理论和实证上证明公司证券的久期与其资本结构优先级单调相关，股权常为负久期，且杠杆放大了该效应。这些发现挑战了股票-债券联动和因子定价的现有结论，例如高杠杆和低优先级会降低公司证券与政府债券收益的相关性，传统市场模型低估公司债券贝塔，标准因子回归高估利率和违约风险。
Abstract We show theoretically and empirically that the durations of corporate securities are monotonically related to their capital structure priority, with equity often having a negative duration. The magnitude of this effect increases with firm leverage. We use these insights to challenge existing results on stock-bond comovements and factor pricing. For example, though overlooked, higher leverage and lower priority reduce the correlation between corporate security and government bond returns, and these variables explain time-series and cross-sectional variation in correlations; traditional market model regressions significantly understate corporate bond betas; and regressions on standard term and default factors dramatically overstate interest rate and default risk.