Quotation Chaderina, Maria, Weiß, Patrick, Zechner, Josef. 2018. The Maturity Premium.


RIS


BibTeX

Abstract

We analyze asset-pricing implications of debt maturity. Firms with long debt maturities have weaker incentives to delever after negative shocks and therefore exhibit high leverage and high betas during downturns when the market price of risk is high. They also increase leverage less aggressively during booms. Thus, the betas of firms with longer debt maturities covary more with the market price of risk. As a result, they generate higher expected returns, controlling for average exposure to systematic risk. We demonstrate this in a model and document empirically a 0.21% monthly premium for buying long-maturity financed firms and selling those with shorter debt maturities.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title The Maturity Premium
Year 2018
URL https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3283771
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