The maturity premium

• 成果类型: Article
• 署名作者: Chaderina, Maria; Weiss, Patrick; Zechner, Josef
• 署名单位: University of Oregon; Vienna University of Economics & Business
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.07.008
• 发表日期: 2022
• 页码: 670-694
• 关键词: maturity; VALUE PREMIUM; Debt overhang; Cross-section of stock returns; CAPM

摘要

We show that firms with longer debt maturities earn risk premia not explained by unconditional factors. Embedding dynamic capital structure choices in an asset-pricing framework where the market price of risk evolves with the business cycle, we find that firms with long-term debt exhibit more countercyclical leverage. The induced covariance between betas and the market price of risk generates a maturity premium similar in size to our empirical estimate of 0.21% per month. We also provide direct evidence for the model mechanism and confirm that the maturity premium is consistent with observed leverage dynamics of long- and short-maturity firms. (c) 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )