Browsing Faculty of Arts and Sciences by Keyword "idiosyncratic volatility"
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Equity Volatility and Corporate Bond Yields
(Blackwell Publishing, 2003)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 ... -
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
(Blackwell Publishing, 2001)This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility ...