Equity Volatility and Corporate Bond Yields

• Autores: John Y. Campbell, Glen B. Taksler
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 58, Nº 6, 2003, págs. 2321-2350
• Idioma: inglés
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• Dialnet Métricas: 5 Citas
• Resumen

  • This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding, together with the upward trend in idiosyncratic equity volatility documented by , helps to explain recent increases in corporate bond yields.