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. (JEL G12, G13) Received November 22, 2019; editorial decision October 18, 2021 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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久期、股票-债券联动和要素定价模型中的资本结构优先效应

我们从理论上和经验上表明，公司证券的久期与其资本结构优先级单调相关，股权通常具有负久期。这种影响的幅度随着公司杠杆的增加而增加。我们利用这些见解来挑战股票债券联动和因子定价的现有结果。例如，尽管被忽视，但较高的杠杆率和较低的优先级会降低公司证券与政府债券收益之间的相关性，而这些变量解释了相关性的时间序列和横截面变化；传统的市场模型回归显着低估了公司债券的贝塔系数；标准期限和违约因素的回归显着夸大了利率和违约风险。（JEL G12、G13）2019年11月22日收到；10 月 18 日的编辑决定，2021年编辑杰弗里·庞蒂夫。作者提供了 Internet 附录，该附录可在牛津大学出版社网站上在线最终发表论文的链接旁边找到。