Equity Volatility and Corporate Bond Yields

John Campbell and Glen B. Taksler

Journal of Finance, 2003, vol. 58, issue 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.

Date: 2003
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Citations: View citations in EconPapers (544)

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https://doi.org/10.1046/j.1540-6261.2003.00607.x

Related works:
Working Paper: Equity Volatility and Corporate Bond Yields (2003)
Working Paper: Equity Volatility and Corporate Bond Yields (2002)
Working Paper: Equity Volatility and Corporate Bond Yields (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:58:y:2003:i:6:p:2321-2350

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