期刊名称：HIER Discussion Paper Series / Harvard Institute of Economic Research
出版年度：2002
卷号：2002
出版社：Harvard Institute of Economic Research
摘要：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.
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