Chaderina, Maria, Weiß, Patrick, Zechner, Josef. 2019. The Maturity Premium. Forschungsseminar, Budapest, 24.04.19
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.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Unpublished lecture |
| Language | English |
| Title | The Maturity Premium |
| Event | Forschungsseminar |
| Location | Budapest |
| Event country | Hungary |
| Date | April 24, 2019 |
| JEL | G12, G32, G33 |
Associations
- People
- Chaderina, Maria (Former researcher)
- Weiß, Patrick (Details)
- Zechner, Josef (Details)
- Organization
- Institute for Finance, Banking and Insurance IN (Details)
- Research Institute for Capital Markets FI (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 5305 Bank management (Details)
- 5307 Business and management economics (Details)
- 5358 Corporate finances (Details)
- 5361 Financial management (Details)