Can managers successfully time the maturity structure of their debt issues?

• 成果类型: Article
• 署名作者: Butler, Alexander W.; Grullon, Gustavo; Weston, James P.
• 署名单位: University of Texas System; University of Texas Dallas; Rice University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00888.x
• 发表日期: 2006
• 页码: 1731-1758
• 关键词: interest-rates; term structure; series; tests; regressions; instability; POLICY

摘要

This paper provides a rational explanation for the apparent ability of managers to successfully time the maturity of their debt issues. We show that a structural break in excess bond returns during the early 1980s generates a spurious correlation between the fraction of long-term debt in total debt issues and future excess bond returns. Contrary to Baker, Taliaferro, and Wurgler (2006), we show that the presence of structural breaks can lead to nonsense regressions, whether or not there is any small sample bias. Tests using firm-level data further confirm that managers are unable to time the debt market successfully.