This study examines the determinants of corporate debt maturity structure decisions of French, German and UK firms using panel data. These countries are characterised by different financial systems and traditions that have implications on how firms decide their debt maturity structure. We apply several alternative estimation methods and show that in debt structure modelling endogeneity problem should be controlled for. We do so by using Generalised Method of Moments (GMM) estimation method. The

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... GMM results suggest that firms in all three countries adjust their debt ratios to attain their target maturity structure. However, the speed at which firms adjust their maturity structure towards their target levels differs from one country to another. A direct association of debt maturity with leverage in all countries confirms the predictions of the liquidity risk argument. However, corporate tax rate, growth opportunities, liquidity, firm quality, earnings volatility, asset maturity and firm size have different degree and direction of effect on debt maturity across the sample countries. Apart from these firm-specific factors, we also find that the impact of market-related factors (term structure of interest rates, equity premium, share price performance, and interest rate volatility) on debt maturity is country dependent. Hence, the debt maturity structure of a firm is determined by both firm-specific factors and country-specific effects. JEL Classification: G20, G32 hypothesis argue that firms match the maturity of their assets and liabilities (Hart and Moore, 1994). This matching principle is heavily supported by extant empirical studies. Early empirical studies examine the determinants of debt maturity only indirectly. Titman and Wessels (1988) find a negative correlation between size and short-term debt and argue that smaller firms cannot afford high issue costs of long-term debt. Mitchell (1991) suggests that unquoted firms are more likely to issue shorter-term debt due to information asymmetries. Mitchell (1993) finds a negative (positive) correlation between maturity and leverage (firm quality). More recently, several papers examine the possible determinants of firms' debt maturity decisions. Kim et al. (1995) report a significant positive relation between debt maturity, and leverage and firm size. Barclay and Smith (1995) find that larger firms with lower market-to-book ratio have longer debt maturity. Guedes and Opler (1996) report that larger, better and the firms with higher growth opportunities are most likely to issue shortterm debt. Stohs and Mauer (1996) , however, find only mixed support for an inverse relationship between debt maturity and market-to-book ratio. Ozkan (2000) reports negative relation of debt maturity with firm size and market-to-book ratio. Scherr and Hulburt (2001) find little evidence that tax status, growth options, and information asymmetries affect small firms' debt maturity choice. However, the hypotheses related to capital structure, default probability and asset maturity are found to be relevant to maturity decisions of such firms. This study examines the determinants of debt maturity in the framework of taxes, contracting-costs, signalling, liquidity risk, and maturity-matching and contributes to the literature in several ways. First, hardly any prior study on debt maturity explicitly considers the endogeneity issue using Generalised Method of Moments (GMM) 1 . It is important because random shocks may affect both dependent variables and independent variables at the same time. It is possible that observed relations between debt maturity and its assumed determinants reflect the effects of debt maturity on the latter rather than vice-versa. We control for this problem by using the GMM procedure. GMM also overcomes the problems of heteroscedasticity, normality, simultaneity and measurement errors. Since the traditional difference-GMM estimator has weak instruments problem (see Blundell and Bond, 1998) we use recently developed GMM estimator of differences-and levels-equations system. This paper is the first to utilise this method on corporate debt maturity. of debt, IMF Working Paper, WP/01/204. . (1985), Debt policy and the rate of return premium to leverage, Journal of Financial and Quantitative Analysis 20, 479-499. Kim, C. S., Mauer, D. C and Stohs, M. H (1995), Corporate debt maturity policy and investor tax-timing options: theory and evidence, Financial Management 24, 33-45.