Is there the maturity premium in Taiwan?

Chaonan Lin, Kuan-Cheng Ko and Nien-Tzu Yang

Pacific-Basin Finance Journal, 2023, vol. 79, issue C

Abstract: Chaderina et al. (2022) document a new anomaly, namely the maturity premium, to characterize higher returns of long-maturity stocks for the U.S. stock markets. They develop a theoretical model to show that the higher returns of long-maturity stocks are compensation to investors for exposing them to more systematic risk during downturns. In this study, we propose that Chaderina et al.'s (2022) model predicts no maturity premium in Taiwan, a market comprising companies that rely mainly on short-term debt. We confirm this prediction by empirically showing that stocks with more long-maturity debt do not outperform those with more short-maturity debt in Taiwan.

Keywords: Debt maturity; Cross-section of stock returns; Taiwan stock market; Risk factors (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000033

DOI: 10.1016/j.pacfin.2023.101937

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