The Maturity of Debt Issues and Predictable Variation in Bond Returns

@article{Baker2001TheMO,
  title={The Maturity of Debt Issues and Predictable Variation in Bond Returns},
  author={M. Baker and R. Greenwood and Jeffrey Wurgler},
  journal={Capital Markets: Market Efficiency eJournal},
  year={2001}
}
  • M. Baker, R. Greenwood, Jeffrey Wurgler
  • Published 2001
  • Economics
  • Capital Markets: Market Efficiency eJournal
  • 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… CONTINUE READING
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