According to Stiglitz (1974) and Modigliani and Miller (1958), in efficient and integrated markets, the financial management policy cannot decrease the costs of capital due to the interrelation between the different types of capital costs. Consequently, there is no gain from substituting debt for equity. However, evidence has been found against this claim, demonstrating that equity financing is related to the predictability of stock returns. For example, firms issue equity when the equity premium is low in order to time an inefficient market and reduce the cost of capital borrowing and/or to optimize capital structure together with expected returns (Baker et al., 2003). On the other hand, there is substantially less literature on debt financing. For example, according to Bosworth (1971), debt maturity is related to market conditions, such as the interest and inflation rates. Furthermore, Barclay and Smith (1995) find firms with higher information asymmetries to issue short-term debt. They determine a positive relationship between debt-maturity and dividend yield as well as a negative relationship between the maturity of debt and the term-spread (Barclay & Smith, 1995). Although the above papers provide support for the association between debt and returns, none offers information on the cost of capital borrowing at different times of debt maturity due to lack of analysis of returns data.