Quotation Weiß, Patrick. 2018. The Maturity Premium. 25th Annual Meeting of the German Finance Association (DGF) 2018, Trier, Deutschland, 21.09-22.09.




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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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title The Maturity Premium
Event 25th Annual Meeting of the German Finance Association (DGF) 2018
Year 2018
Date 21.09-22.09.
Country Germany
Location Trier
URL https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3283771
JEL G12, G32, G33


Weiß, Patrick (Details)
Institute for Financial Research IN (Details)
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