Debt Refinancing and Equity Returns

• 成果类型: Article
• 署名作者: Friewald, Nils; Nagler, Florian; Wagner, Christian
• 署名单位: Norwegian School of Economics (NHH); Center for Economic & Policy Research (CEPR); Bocconi University; Bocconi University; Vienna University of Economics & Business
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13162
• 发表日期: 2022
• 页码: 2287-2329
• 关键词: cross-section; capital structure; stock returns; Financial distress; Maturity Structure; credit spreads; term structure; Rollover risk; default risk; corporate

摘要

This paper presents empirical evidence that the maturity structure of financial leverage affects the cross-section of equity returns. We find that short-term leverage is associated with a positive premium, whereas long-term leverage is not. The premium for short-term compared to long-term leverage reflects higher exposure of equity to systematic risk. To rationalize our findings, we show that the same patterns emerge in a model of debt rollover risk with endogenous leverage and debt maturity choice. Our results suggest that analyses of leverage effects in asset prices and corporate financial applications should account for the maturity structure of debt.