Publication: Equity Volatility and Corporate Bond Yields
Loading...
Open/View Files
Date
2003
Authors
Published Version
Journal Title
Journal ISSN
Volume Title
Publisher
Blackwell Publishing
The Harvard community has made this article openly available. Please share how this access benefits you.
Citation
Campbell, John Y., and Glen B. Taksler. 2003. Equity volatility and corporate bond yields. Journal of Finance 58(6): 2321-2350.
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.
Description
Other Available Sources
Research Data
Keywords
equity volatility, idiosyncratic volatility, corporate bonds
Terms of Use
This article is made available under the terms and conditions applicable to Other Posted Material (LAA), as set forth at Terms of Service