The maturity premium
| dc.contributor.author | Chaderina, Maria | |
| dc.contributor.author | Weiss, Patrick | |
| dc.contributor.author | Zechner, Josef | |
| dc.contributor.department | Department of Business and Economics | |
| dc.date.accessioned | 2026-10-16T15:01:01Z | |
| dc.date.available | 2026-10-16T15:01:01Z | |
| dc.date.issued | 2022-05 | |
| dc.description | Publisher Copyright: © 2021 The Author(s) | en |
| dc.description.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. | en |
| dc.description.version | Peer reviewed | en |
| dc.format.extent | 25 | |
| dc.format.extent | 1717426 | |
| dc.format.extent | 670-694 | |
| dc.identifier.citation | Chaderina, M, Weiss, P & Zechner, J 2022, 'The maturity premium', Journal of Financial Economics, vol. 144, no. 2, pp. 670-694. https://doi.org/10.1016/j.jfineco.2021.07.008 | en |
| dc.identifier.doi | 10.1016/j.jfineco.2021.07.008 | |
| dc.identifier.issn | 0304-405X | |
| dc.identifier.other | 251361255 | |
| dc.identifier.other | 732045dd-19f8-4cbf-934e-5173a7adef48 | |
| dc.identifier.other | 85112152145 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.11815/8805 | |
| dc.language.iso | en | |
| dc.relation.ispartofseries | Journal of Financial Economics; 144(2) | en |
| dc.relation.url | https://www.scopus.com/pages/publications/85112152145 | en |
| dc.rights | info:eu-repo/semantics/openAccess | en |
| dc.subject | CAPM | en |
| dc.subject | Cross-section of stock returns | en |
| dc.subject | Debt overhang | en |
| dc.subject | Maturity | en |
| dc.subject | Value premium | en |
| dc.subject | Accounting | en |
| dc.subject | Finance | en |
| dc.subject | Economics and Econometrics | en |
| dc.subject | Strategy and Management | en |
| dc.title | The maturity premium | en |
| dc.type | /dk/atira/pure/researchoutput/researchoutputtypes/contributiontojournal/article | en |
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