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.

中文翻译：

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债务再融资和股权回报

本文提供的经验证据表明，金融杠杆的期限结构会影响股票收益的横截面。我们发现短期杠杆与正溢价相关，而长期杠杆则不然。与长期杠杆相比，短期杠杆的溢价反映了股票对系统性风险的更高敞口。为了使我们的研究结果合理化，我们表明在具有内生杠杆和债务期限选择的债务展期风险模型中出现了相同的模式。我们的结果表明，对资产价格和公司财务应用中的杠杆效应的分析应该考虑债务的到期结构。