The maturity of debt issues and predictable variation in bond returns

Journal of Financial Economics

Volumn 70, Issue 2, 2003, Pages 261-291

  Baker, Malcolm ^a   Greenwood, Robin ^a   Wurgler, Jeffrey ^b  

^a HARVARD BUSINESS SCHOOL   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Interest rates; Market efficiency; Maturity structure; Term structure

Indexed keywords

EID: 0142023951     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(03)00147-8     Document Type: Article

References (63)

1. Baker M. Stein J. 2002 Market liquidity as a sentiment indicator. Unpublished working paper, Harvard University.
2. Baker M. Wurgler J. The equity share in new issues and aggregate stock returns Journal of Finance 55 2000 2219-2257
3. Baker M. Wurgler J. Market timing and capital structure Journal of Finance 57 2002 1-32
4. Barclay M. Smith C.Jr. The maturity structure of corporate debt Journal of Finance 50 1995 609-631
5. Board of Governors of the Federal Reserve System, various issues. Flow of Funds Accounts of the United States: Flows and Outstandings.
6. Bosworth B. Patterns of corporate external financing Brookings Papers on Economic Activity 2 1971 253-279
7. Brav A. Gompers P. Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture capital and nonventure capital-backed companies Journal of Finance 52 1997 1791-1822
8. Breeden D. An intertemporal asset pricing model with stochastic consumption and investment opportunities Journal of Financial Economics 7 1979 265-296
9. Breeden D. Consumption, production, inflation and interest rates: a synthesis Journal of Financial Economics 16 1986 3-40
10. Brick I. Ravid S. On the relevance of debt maturity structure Journal of Finance 40 1985 1423-1437
11. Brick I. Ravid S. Interest rate uncertainty and the optimal debt maturity structure Journal of Financial and Quantitative Analysis 26 1991 63-81
12. Campbell J. Shiller R. Term spreads and interest rates: a bird's eye view Review of Economic Studies 58 1991 495-514
13. Campbell J. Lo A. MacKinlay A.C. The Econometrics of Financial Markets 1997 Princeton University Press Princeton, NJ
14. Diamond D. Debt maturity and liquidity risk Quarterly Journal of Economics 106 1991 709-737
15. Duffee G. 2001 Why does the slope of the term structure forecast excess returns? Unpublished working paper, University of California at Berkeley.
16. Fama E. The information in the term structure Journal of Financial Economics 13 1984 509-528
17. Fama E. Bliss R. The information in long-maturity forward rates American Economic Review 77 1987 680-692
18. Fama E. French K. Business conditions and expected returns on stocks and bonds Journal of Financial Economics 25 1989 23-49
19. Fama E. Gibbons M. Inflation, real returns and capital investment Journal of Monetary Economics 9 1982 297-323
20. Ferson W. Harvey C. The variation of economic risk premiums Journal of Political Economy 99 1991 385-415
21. Ferson W. Harvey C. Explaining the predictability in asset returns Research in Finance 11 1993 65-106
22. French K. Schwert G. Stambaugh R. Expected stock returns and volatility Journal of Financial Economics 19 1987 3-29
23. Froot K. New hope for the expectations hypothesis of the term structure of interest rates Journal of Finance 44 1989 283-305
24. Gordon R. Interest rates, inflation, and corporate financial policy Brookings Papers on Economic Activity 2 1982 461-488
25. Graham J. Harvey C. The theory and practice of corporate finance: evidence from the field Journal of Financial Economics 60 2001 187-243
26. Guedes J. Opler T. The determinants of the maturity of corporate debt issues Journal of Finance 51 1996 1809-1833
27. Hansen L. Hodrick R. Forward exchange rates as optimal predictors of future spot rates: an econometric analysis Journal of Political Economy 88 1980 829-853
28. Hart O. Moore J. Debt and seniority: an analysis of the role of hard claims in constraining management American Economic Review 85 1995 567-585
29. Hodrick R. Dividend yields and expected stock returns: alternative procedures for inference and measurement Review of Financial Studies 5 1992 357-386
30. Huang J. Huang M. 2002 How much of the corporate-treasury yield spread is due to credit risk? Results from a new calibration approach. Unpublished working paper, Stanford University.
31. Ikenberry D. Lakonishok J. Vermaelen T. Market underreaction to open market share repurchases Journal of Financial Economics 39 1995 181-208
32. Internal Revenue Service, various issues. Statistics of Income: Corporation Income Tax Returns
33. Kaplin A. Levy A. 2001 Corporate security issues and asset returns. Unpublished working paper, University of California at Berkeley.
34. Keim D. Stambaugh R. Predicting returns in the stock and bond markets Journal of Financial Economics 17 1986 357-390
35. Kirby C. Measuring the predictable variation in stock and bond returns The Review of Financial Studies 10 1997 579-630
36. Lettau M. Ludvigson S. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying Journal of Political Economy 109 2001 1238-1287
37. Loughran T. Ritter J. The new issues puzzle Journal of Finance 50 1995 23-51
38. Marsh P. The choice between equity and debt: an empirical study Journal of Finance 37 1982 121-144
39. Merton R. An intertemporal capital asset pricing model Econometrica 41 1973 867-887
40. Modigliani F. Miller M. The cost of capital, corporation finance, and the theory of investment American Economic Review 48 1958 655-669
41. Modigliani F. Sutch R. Debt management and the term structure of interest rates: an empirical analysis of recent experience Journal of Political Economy 75 1966 569-589
42. Modigliani F. Sutch R. Innovations in interest rate policy American Economic Review 56 1966 178-197
43. Myers S. Determinants of corporate borrowing Journal of Financial Economics 5 1977 147-175
44. Nelson C. Kim M. Predictable stock returns: the role of small-sample bias Journal of Finance 48 1993 641-661
45. Newey W. West K. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703-708
46. Rajan R. Insiders and outsiders: the choice between informed and arms-length debt Journal of Finance 47 1992 1367-1400
47. Ritter J. The long-run performance of initial public offerings Journal of Finance 42 1991 365-394
48. Ritter J. 2003 Investment banking and securities issuance. In: Constantinides, G., Harris, M., Stulz, R. (Eds.), Handbook of Economics and Finance. North-Holland, Amsterdam, forthcoming.
49. Ross S. The arbitrage theory of capital asset pricing Journal of Economic Theory 13 1976 341-360
50. Schwert G. Why does stock volatility change over time? Journal of Finance 44 1989 1115-1153
51. Shiller R. The volatility of long-term interest rates and expectations models of the term structure Journal of Political Economy 87 1979 1190-1219
52. Shiller R. Why do people dislike inflation? In: Romer C. Romer D. (Eds.) Reducing Inflation: Motivation and Strategy 1996 National Bureau of Economic Research, University of Chicago Press Chicago
53. Shiller R. Campbell J. Schoenholtz D. Forward rates and future policy: interpreting the term structure of interest rates Brookings Papers on Economic Activity 1 1983 173-217
54. Speiss D. Affleck-Graves J. Underperformance in long-run stock returns following seasoned equity offerings Journal of Financial Economics 38 1995 243-267
55. Stambaugh R. Predictive regressions Journal of Financial Economics 54 1999 375-421
56. Stein J. Efficient capital markets, inefficient firms: a model of myopic corporate behavior Quarterly Journal of Economics 104 1989 655-669
57. Stigler G. Public regulation of the securities markets Journal of Business 37 1964 117-142
58. Stiglitz J. On the irrelevance of corporate financial policy American Economic Review 64 1974 851-866
59. Stohs M. Mauer D. The determinants of corporate debt maturity structure Journal of Business 69 1996 279-312
60. Taggart R. A model of corporate financing decisions Journal of Finance 32 1977 1467-1484
61. Titman S. The Modigliani and Miller theorem and the integration of financial markets Financial Management 31 2002 101-130
62. Van Horne J. Financial Market Rates and Flows 1984 Prentice-Hall Englewood Cliffs, NJ
63. White W. Debt management and the form of business financing Journal of Finance 29 1974 565-577