Equity Volatility and Corporate Bond Yields
研究股票波动性对公司债券收益率的影响，发现1990年代末的个体公司层面波动性对收益率差异的解释力与信用评级相当，有助于解释近期公司债券收益率上升。
Abstract This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990s 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.