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Has the maturity premium attenuated over time?

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  • He, Yi-Ting
  • Huang, Po-Chao
  • Ko, Kuan-Cheng
  • Lo, Wen-Chi

Abstract

The maturity premium, a newly proposed anomaly, characterizes higher returns of stocks adopting more long-term debt. Motivated by the stylized facts of declines in the use and dispersion in long-term debt for the U.S. companies, we hypothesize that the maturity premium has attenuated in recent periods. Applying Bai and Perron’s (1998) structural-change test, we detect one structural break at June 2000. The abnormal maturity premium is significant before this date but becomes insignificant afterwards. Our results are robust to different factor models and the concentration of the smallest firms.

Suggested Citation

  • He, Yi-Ting & Huang, Po-Chao & Ko, Kuan-Cheng & Lo, Wen-Chi, 2026. "Has the maturity premium attenuated over time?," Economics Letters, Elsevier, vol. 265(C).
    • Handle: RePEc:eee:ecolet:v:265:y:2026:i:c:s016517652600203x
    DOI: 10.1016/j.econlet.2026.113009
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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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