Equity Volatility and Corporate Bond Yields

47 Pages Posted: 20 Feb 2002

See all articles by John Y. Campbell

John Y. Campbell

Harvard University - Department of Economics; National Bureau of Economic Research (NBER)

Glen B. Taksler

affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Date Written: February 2002

Abstract

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's 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.

Keywords: Corporate bonds, equity volatility

JEL Classification: G12

Suggested Citation

Campbell, John Y. and Taksler, Glen Barry, Equity Volatility and Corporate Bond Yields (February 2002). Available at SSRN: https://ssrn.com/abstract=301320 or http://dx.doi.org/10.2139/ssrn.301320

John Y. Campbell (Contact Author)

Harvard University - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Glen Barry Taksler

affiliation not provided to SSRN

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