We show that firms with longer debt maturities earn risk premia not explained by unconditional factors. Embedding dynamic capital structure choices in an asset-pricing framework where the market price of risk evolves with the business cycle, we find that firms with long-term debt exhibit more countercyclical leverage. The induced covariance between betas and the market price of risk generates a maturity premium similar in size to our empirical estimate of 0.21% per month. We also provide direct evidence for the model mechanism and confirm that the maturity premium is consistent with observed leverage dynamics of long- and short-maturity firms.

中文翻译：

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到期溢价

我们表明，债务期限较长的公司赚取的风险溢价不能用无条件因素来解释。将动态资本结构选择嵌入风险市场价格随商业周期变化的资产定价框架中，我们发现拥有长期债务的公司表现出更多的反周期杠杆。贝塔系数与风险市场价格之间的协方差产生的期限溢价与我们的经验估计每月 0.21% 相似。我们还为模型机制提供了直接证据，并确认期限溢价与观察到的长期和短期公司的杠杆动态一致。