债券发行期限与债券收益的可预测变化

Malcolm P. Baker, R. Greenwood, Jeffrey Wurgler
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引用次数: 306

摘要

新发行债券的到期日预示着超额的债券回报。当长期债务占总债务的比例较高时,未来的超额债券回报就会较低。这种预测能力分为两部分。首先,通胀、实际短期利率和期限价差预示着债券的超额回报。其次,这些相同的变量解释了长期份额,并在很大程度上解释了其自身预测超额债券回报的能力。这一结果与调查证据一致,即企业利用债务市场状况来努力确定借款的最低成本期限。
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The Maturity of Debt Issues and Predictable Variation in Bond Returns
The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share, and together account for much of its own ability to predict excess bond returns. The results are consistent with survey evidence that firms use debt market conditions in an effort to determine the lowest-cost maturity at which to borrow.
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