Issuer Term Variability, Bond Yield Spreads, and Reaching for Yield
研究了同一发行人不同债券的非财务条款变异性（ITV）与债券利差、回报和投资者基础的关系，发现ITV与利差正相关，高ITV债券违约风险更高但风险调整后回报更低，且追逐收益的投资者更偏好此类债券。
We examine how variations in nonfinancial terms across bonds from the same issuer, referred to as “issuer term variability” (ITV), relate to bond yield spreads, returns, and investor bases. Our findings show that ITV is positively associated with yield spreads, even after accounting for the issuer’s credit ratings and other credit risk proxies. Additionally, bonds with high ITV exhibit greater default risk but deliver lower risk-adjusted returns compared with those with low ITV. We also find that yield-seeking investors are more likely to own bonds with high ITV, and bond funds that reach for yield also tend to favor high ITV bonds. These results suggest that some investors specifically target high ITV bonds to achieve higher yields, even at the cost of lower returns. Further analysis indicates that reaching for ITV is difficult to justify as rational risk-taking by constrained investors. This paper was accepted by Bo Becker, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.01876 .