Debt Refinancing and Equity Returns
研究发现财务杠杆的期限结构影响股票收益的横截面差异，短期杠杆带来正溢价而长期杠杆没有，该溢价源于股票对系统性风险的更高暴露，并通过债务展期风险模型得到解释。
ABSTRACT This paper presents empirical evidence that the maturity structure of financial leverage affects the cross‐section of equity returns. We find that short‐term leverage is associated with a positive premium, whereas long‐term leverage is not. The premium for short‐term compared to long‐term leverage reflects higher exposure of equity to systematic risk. To rationalize our findings, we show that the same patterns emerge in a model of debt rollover risk with endogenous leverage and debt maturity choice. Our results suggest that analyses of leverage effects in asset prices and corporate financial applications should account for the maturity structure of debt.