Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
研究了杠杆如何影响未来股票波动率的长期横截面可预测性，发现杠杆使股票波动率比公司资产波动率更难预测，这一结果对多种预测指标均稳健，并用最优资本结构模型解释该发现。
Leverage represents both a fundamental component of equity volatility and a long-run selection variable. Based on this premise, we investigate the influence of leverage on the long-run cross-sectional predictability of future realized equity volatility. Leverage makes equity volatility significantly less predictable than underlying firm asset volatility, a result that is robust to different predictors of future realized volatility: credit default swap implied, historical, and option implied volatility. A simple model of optimal capital structure, wherein companies maximize tax benefits subject to a common maximum default probability (minimum credit rating) target, helps explain this finding.