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Equity Volatility and Corporate Bond Yields · Study

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PreprintEquity Volatility and Corporate Bond Yields

John Y. Campbell2002

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Preprintgreen2002

Equity Volatility and Corporate Bond Yields

John Y. Campbell · Glen B. Taksler

123 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Corporate Finance and Governance

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References

1973The Pricing of Options and Corporate Liabilities 1973Risk, Return, and Equilibrium: Empirical Tests 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1987Parsimonious Modeling of Yield Curves 1999Modeling Term Structures of Defaultable Bonds 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt

Cited by

2011The End of Market Discipline? Investor Expectations of Implicit Government Guarantees 2017Large shareholders and credit ratings 2005Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 2004Ratings versus market-based measures of default risk in portfolio governance 2010The Fed and the Question of Financial Stability: An Empirical Investigation 2010Fair Value Accounting for Financial Instruments: Does It Improve the Association Between Bank Leverage and Credit Risk?

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2005Explaining Launch Spreads on Structured Bondspreprint · 12 shared references 2006Do macroeconomic variables matter for pricing default risk?article · 12 shared references 2003Equity Volatility and Corporate Bond Yieldsarticle · 11 shared references 2004The Determinants of Credit Default Swap Premiapreprint · 11 shared references 2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structurearticle · 11 shared references 2004Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuancepreprint · 11 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations123

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.301320

openalex_workW2113326322

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2017De Facto Seniority, Credit Risk, and Corporate Bond Prices

2001The Valuation of Corporate Liabilities: Theory and Tests