A Closer Look at Debt's Role in Stock Performance
Great article as always.
The explanation might also be reversed: certain types of businesses have more stable cash flows and therefore more capacity to borrow. These companies tend to be higher quality and therefore have better returns than more speculative lower quality companies with low capacity to borrow.
I couldn’t see the time period for your study but it would be interesting to compare the win-loss ratio in rising vs falling interest rate periods.
I also have wondered how companies with low-rate very-long term debt perform in an inflationary environment. Is this an investable thesis? Like BRK 35-year yen bonds, but on a larger scale.