Starjournal Quotation Chaderina, Maria, Weiß, Patrick, Zechner, Josef. 2021. The Maturity Premium. Journal of Financial Economics.


RIS


BibTeX

Abstract

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.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Financial Economics
Citation Index SSCI
WU Journalrating 2009 A+
Starjournal Y
Language English
Title The Maturity Premium
Year 2021
Reviewed? Y
URL https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3283771
DOI https://doi.org/10.1016/j.jfineco.2021.07.008
Open Access N
JEL G12, G32, G33

Associations

People
Chaderina, Maria (Former researcher)
Weiß, Patrick (Details)
Zechner, Josef (Details)
Organization
Institute for Financial Research IN (Details)
Institute for Finance, Banking and Insurance IN (Details)
Research Institute for Capital Markets FI (Details)
Google Scholar: Search