TY  - JOUR
AU  - Campbell,John Y.
AU  - Taksler,Glen B.
TI  - Equity Volatility and Corporate Bond Yields
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8961
PY  - 2002
Y2  - May 2002
UR  - http://www.nber.org/papers/w8961
L1  - http://www.nber.org/papers/w8961.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Glen Taksler
NYU School of Medicine
E-Mail: gtaksler@nber.org
AB  - 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.
ER  -