For a given grade, a fine thread bolt has higher tensile strength than a coarse thread bolt. That's because the threads on a fine thread bold aren't as deep, leaving more of the bolt diameter.
Check out the table at the site below. A grade 5 1/2-13 bolt as a tensile strength of 17,000 lbs. For a grade 5 1/2-20 bolt, it's 19,200. That's why for applications requiring high tensile strength like head and main bearing bolts, fine thread fasteners are used almost exclusively.