Equity Volatility And Corporate Bond Yields  

Oleh:

Campbell, John Y. ; Taksler, Glen B.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2321-2350.
Topik: equity; studies; volatility; effects; bond issues; yield; credit ratings; stock prices; statistical analysis
Fulltext: p 2321.pdf (420.98KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s show that idiosyncratic firm - level colatility can explaina s 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 (2991), helps to explain recent increases in corporate bond yields.

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