The maturity of debt issues and predictable variation in bond returns

• 成果类型: Article
• 署名作者: Baker, M; Greenwood, R; Wurgler, J
• 署名单位: Harvard University; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00147-8
• 发表日期: 2003
• 页码: 261-291
• 关键词: maturity structure; term structure; Interest rates; market efficiency

摘要

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share, and together account for much of its own ability to predict excess bond returns. The results are consistent with survey evidence that firms use debt market conditions in an effort to determine the lowest-cost maturity at which to borrow. (C) 2003 Elsevier B.V. All rights reserved.