| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14570 |
| DP14570 The Maturity Premium | |
| Josef Zechner; Maria Chaderina; Patrick Weiss | |
| 发表日期 | 2020-04-06 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper shows that firms with longer debt maturities earn risk premia not explained by unconditional standard factor models. We develop a dynamic capital structure model and find that firms with long-term debt exhibit more countercyclical leverage, making them more highly levered in downturns, when the market price of risk is high. The induced covariance between risk exposure and the market price of risk generates a maturity premium which we estimate at 0.21% per month. Empirical results from a conditional CAPM as well as observed beta dynamics are consistent with the model. We also exploit exogenous variation of debt maturities at the onset of the financial crisis and find that firms with shorter debt maturities experienced a smaller increase in leverage during the crisis. Also, after an initial spike, the betas of short-maturity firms reverted to levels below those of long-maturity firms by the end of 2008. |
| 主题 | Financial Economics |
| 关键词 | Maturity Value premium Debt overhang Cross-section of stock returns Capm |
| URL | https://cepr.org/publications/dp14570 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543476 |
| 推荐引用方式 GB/T 7714 | Josef Zechner,Maria Chaderina,Patrick Weiss. DP14570 The Maturity Premium. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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