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Journal of Finance Vol. 58 No. 6 2003

Equity Volatility and Corporate Bond Yields

John Y. Campbell1,2; Glen B. Taksler1,3,2

1 National Bureau of Economic Research · 2 Harvard University · 3 Citigroup

open access

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.

DOI
10.1046/j.1540-6261.2003.00607.x
Volume
58
Issue
6
Pages
2321-2350
Language
en
Sources
crossref openalex bibtex:phds-export.bib

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