Liquidity, Market Timing, and Debt Maturity Structure

• Main Authors: Tzu-Hao Tseng, 曾梓豪
• Other Authors: 廖咸興
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/36892585894500190552

碩士 === 國立臺灣大學 === 財務金融學研究所 === 102 === 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.