Liquidity, Market Timing, and Debt Maturity Structure
Date Issued
2014
Date
2014
Author(s)
Tseng, Tzu-Hao
Abstract
Baker, Greenwood, and Wurgler (2003) found that they can use term spread to predict future excess bond returns, and the maturity of new debt issues of firms is connected to the excess bond returns. This is an action of debt market timing. Moreover, He and Xiong (2012) demonstrated that when the market’s liquidity deteriorates, firms financing with more short-term debts will suffer more losses in rolling over their maturing debts. In this paper, I consider term spread as the long-term debt’s additional issuance cost and rollover losses as the short-term debt’s one. Hence, we can form a trade-off between the issuance of long-term debt and short-term debt and determine an optimal debt maturity structure. Furthermore, we examine the stock return’s impact on firm’s debt maturity structure through default risk and agency problem between bondholders and stockholders, and try to figure out their complex relationship.
Subjects
期間利差
債券期限結構
市場選時
展期風險
市場流動性
權衡關係
股票報酬
Type
thesis
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