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Equity Volatility and Corporate Bond Yields
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Journal Article
Equity Volatility and Corporate Bond Yields
2003
Overview
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.
Publisher
Blackwell Publishing Inc,Blackwell Publishers,Blackwell Publishers Inc
Subject
