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Equity Volatility and Corporate Bond Yields

John Campbell () and Glen B. Taksler
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Glen B. Taksler: Citigroup Global Markets

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. Copyright 2003 by the American Finance Association.

Date: 2003
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Working Paper: Equity Volatility and Corporate Bond Yields (2002) Downloads
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