Browsing Faculty of Arts and Sciences by Keyword "idiosyncratic volatility"

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    • Equity Volatility and Corporate Bond Yields 

      Campbell, John; Taksler, Glen (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 

      Campbell, John; Lettau, Martin; Malkiel, Burton; Xu, Yexiao (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 ...