| dc.description.abstract | This thesis presents how debt maturity affects equity returns in the Japanese stock market. Some studies have been done on the topic in the US, but the research in Japan is limited. When applying a cross-sectional approach to our dataset, we find that a shorter maturity structure is associated with a positive premium.
Further, we make portfolios based on different leverage metrics. The portfolios with a high amount of short-term leverage have a higher average return than the portfolios with a low amount of short-term leverage. We also regress the portfolios against the CAPM, FF3 and FF5 to study the exposure to systematic risk. We do not find a significant alpha, but there is a positive significant loading on several of the systematic risk factors. | en_US |
