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Finance and Economics Discussion Series
Divisions of Research Statistics and Monetary Affairs
Federal Reserve Board, Washington, D.C.
Debt Maturity, Risk, and Asymmetric Information
Allen N. Berger, Marco A. Espinosa-Vega, W. Scott Frame,
and Nathan H. Miller
2004-60
NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS)
are preliminary materials circulated to stimulate discussion and critical comment. The
analysis and conclusions set forth are those of the authors and do not indicate
concurrence by other members of the research staff or the Board of Governors.
References in publications to the Finance and Economics Discussion Series (other than
acknowledgement) should be cleared with the author(s) to protect the tentative character
of these papers.
Debt Maturity, Risk, and Asymmetric Information
Allen N. Berger, Marco A. Espinosa-Vega, W. Scott Frame, and Nathan H. Miller*
Forthcoming, Journal of Finance
Abstract
We test the implications of Flannery’s (1986) and Diamond’s (1991) models concerning the effects of
risk and asymmetric information in determining debt maturity, and we examine the overall importance of
informational asymmetries in debt maturity choices. We employ data on over 6,000 commercial loans
from 53 large U.S. banks. Our results for low-risk firms are consistent with the predictions of both
theoretical models, but our findings for high-risk firms conflict with the predictions of Diamond’s model
and with much of the empirical literature. Our findings also suggest a strong quantitative role for
asymmetric information in explaining debt maturity.
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