Debt Maturity and Asymmetric Information: Evidence from Default Risk Changes
研究发现，借款人选择短期债务后违约风险下降，选择长期债务后违约风险上升，表明私人信息是决定债务期限的重要因素。
Abstract Asymmetric information models suggest that a borrower’s choice of debt maturity depends on its private information about its default probabilities, that is, borrowers with favorable information prefer short-term debt while those with unfavorable information prefer long-term debt. We test this implication by tracing the evolution of debt issuers’ default risk following debt issuances. We find that short-term debt issuance leads to a decline inborrowers’ asset volatility and an increase in their distance to default. The opposite is true for long-term debt issues. The results suggest that borrowers’ private information about their default risk is an important determinant of their debt maturity choices.