Equity Volatility and Corporate Bond Yields

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Equity Volatility and Corporate Bond Yields

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Title: Equity Volatility and Corporate Bond Yields
Author: Campbell, John; Taksler, Glen

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., and Glen B. Taksler. 2003. Equity volatility and corporate bond yields. Journal of Finance 58(6): 2321-2350.
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Abstract: 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 Campbell, Lettau, Malkiel, and Xu (2001), helps to explain recent increases in corporate bond yields. The definitive version is available at www.blackwell-synergy.com.
Published Version: http://dx.doi.org/10.1046/j.1540-6261.2003.00607.x
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3153307

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  • FAS Scholarly Articles [7470]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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