Equity Volatility and Corporate Bond Yields

47 Pages Posted: 24 May 2002 Last revised: 28 Dec 2022

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: May 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.

Suggested Citation

Campbell, John Y. and Taksler, Glen Barry, Equity Volatility and Corporate Bond Yields (May 2002). NBER Working Paper No. w8961, Available at SSRN: https://ssrn.com/abstract=313662

John Y. Campbell (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
Room 213
Cambridge, MA 02138
United States
617-496-6448 (Phone)
617-495-7730 (Fax)

HOME PAGE: http://scholar.harvard.edu/campbell

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Glen Barry Taksler

affiliation not provided to SSRN

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
267
Abstract Views
18,033
Rank
15,090
PlumX Metrics