Skip to Main Content
HBS Home
  • About
  • Academic Programs
  • Alumni
  • Faculty & Research
  • Baker Library
  • Giving
  • Harvard Business Review
  • Initiatives
  • News
  • Recruit
  • Map / Directions
Faculty & Research
  • Faculty
  • Research
  • Featured Topics
  • Academic Units
  • …→
  • Harvard Business School→
  • Faculty & Research→
Publications
Publications
  • November 2003
  • Article
  • Journal of Financial Economics

The Maturity of Debt Issues and Predictable Variation in Bond Returns

By: Malcolm Baker, Robin Greenwood and Jeffrey Wurgler
  • Format:Print
  • | Pages:31
ShareBar

Abstract

The maturity of new debt issues predicts excess bond returns. When the share of long-term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in two parts. First, inflation, the real short-term rate, and the term spread predict excess bond returns. Second, these same variables explain the long-term share, and together account for much of its own ability to predict excess bond returns. The results are consistent with survey evidence that firms use debt market conditions in an effort to determine the lowest-cost maturity at which to borrow.

Keywords

Borrowing and Debt; Bonds; Investment Return; Financial Markets; Forecasting and Prediction

Citation

Baker, Malcolm, Robin Greenwood, and Jeffrey Wurgler. "The Maturity of Debt Issues and Predictable Variation in Bond Returns." Journal of Financial Economics 70, no. 2 (November 2003): 261–291.
  • Find it at Harvard
  • Read Now

About The Authors

Malcolm P. Baker

Finance
→More Publications

Robin Greenwood

Finance
→More Publications

More from the Authors

    • May 2022
    • Faculty Research

    Third Point in 2020: Growth is Where the Value is? (B)

    By: Robin Greenwood and Denise Han
    • May 2022
    • Faculty Research

    Third Point in 2020: Growth is Where the Value is?

    By: Robin Greenwood, James Williams and Denise Han
    • April 2022
    • Journal of Finance

    Predictable Financial Crises

    By: Robin Greenwood, Samuel G. Hanson, Andrei Shleifer and Jakob Ahm Sørensen
More from the Authors
  • Third Point in 2020: Growth is Where the Value is? (B) By: Robin Greenwood and Denise Han
  • Third Point in 2020: Growth is Where the Value is? By: Robin Greenwood, James Williams and Denise Han
  • Predictable Financial Crises By: Robin Greenwood, Samuel G. Hanson, Andrei Shleifer and Jakob Ahm Sørensen
ǁ
Campus Map
Harvard Business School
Soldiers Field
Boston, MA 02163
→Map & Directions
→More Contact Information
  • Make a Gift
  • Site Map
  • Jobs
  • Harvard University
  • Trademarks
  • Policies
  • Accessibility
  • Digital Accessibility
Copyright © President & Fellows of Harvard College