Systematic risk, debt maturity, and the term structure of credit spreads

被引：41

作者：

Chen, Hui ^{[1
,2
]}

Xu, Yu ^{[3
]}

Yang, Jun ^{[4
]}

机构：

[1] MIT Sloan, 77 Massachusetts Ave, Cambridge, MA 02139 USA

[2] NBER, 77 Massachusetts Ave, Cambridge, MA 02139 USA

[3] Univ Delaware, Lerner Coll Business & Econ, 20 Orchard Rd, Newark, DE 19716 USA

[4] Bank Canada, 234 Wellington St, Ottawa, ON K1A 0G9, Canada

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 139卷 / 03期

关键词：

Credit risk; Term structure; Business cycle; Maturity dynamics; Liquidity;

D O I：

10.1016/j.jfineco.2020.09.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document several facts about corporate debt maturity: (1) debt maturity is pro-cyclical, (2) higher-beta firms tend to have longer maturity, and (3) shorter maturity amplifies the sensitivity of credit spreads to aggregate shocks. We present a dynamic capital structure model that explains these facts. In the model, leverage and maturity choices are interdependent, which reflect the tradeoffs of liquidity discounts of long-term debt, repayment risks of short-term debt, and the benefit of short-term debt as a commitment device for timely leverage adjustments. Additionally, the model helps quantify the effects of maturity dynamics on the term structure of credit spreads. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：770 / 799

页数：30

共 50 条

[21] Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads
Leland, HE
Toft, KB
[J]. JOURNAL OF FINANCE, 1996, 51 (03): : 987 - 1019
[22] Debt Maturity, Credit Risk, and Information Asymmetry: The Case of Municipal Bonds
Daniels, Kenneth
Ejara, Demissew Diro
Vijayakumar, Jayaraman
[J]. FINANCIAL REVIEW, 2010, 45 (03) : 603 - 626
[23] Debt maturity structure, credit ratings and audit fees: new evidence
Opare, Solomon
Bhuiyan, Md. Borhan Uddin
[J]. ACCOUNTING RESEARCH JOURNAL, 2023, 36 (06) : 558 - 580
[24] Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads
Badaoui, Saad
Cathcart, Lara
El-Jahel, Lina
[J]. EUROPEAN JOURNAL OF FINANCE, 2016, 22 (10): : 825 - 853
[25] Risk Shocks and Credit Spreads
Kwon, Dohyoung
[J]. JOURNAL OF MACROECONOMICS, 2020, 64
[26] CREDIT RATIONING, CONCESSIONARY LENDING, AND DEBT MATURITY
SHARPE, SA
[J]. JOURNAL OF BANKING & FINANCE, 1991, 15 (03) : 581 - 604
[27] Green Credit Policy and the Maturity of Corporate Debt
Wang, Liangcheng
Zhu, Yi
[J]. PROCEEDINGS OF THE TENTH INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING MANAGEMENT, 2017, 502 : 1709 - 1717
[28] Lemmings in the bond market? An empirical analysis of the term structure of credit spreads
Rokkanen N.
[J]. Financial Markets and Portfolio Management, 2009, 23 (1): : 31 - 57
[29] Common Factors in the Term Structure of Credit Spreads and Predicting the Macroeconomy in Japan
Kobayashi, Takeshi
[J]. INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2021, 9 (02):
[30] The term structure of credit spreads, firm fundamentals, and expected stock returns
Han, Bing
Subrahmanyam, Avanidhar
Zhou, Yi
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2017, 124 (01) : 147 - 171

← 1 2 3 4 5 →