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Equity Volatility and Corporate Bond Yields

16 references·16 citing·30 second hopsampled

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
1987Parsimonious Modeling of Yield Curves2,918 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
2001The Determinants of Credit Spread Changes2,253 cited
1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
2001Explaining the Rate Spread on Corporate Bonds1,580 cited
2003Idiosyncratic Risk Matters!1,171 cited
1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?741 cited

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1999

Estimating the Price of Default Risk

724 cited

Cited by

2011The End of Market Discipline? Investor Expectations of Implicit Government Guarantees101 cited
2017Large shareholders and credit ratings90 cited
2005Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation76 cited
2004Ratings versus market-based measures of default risk in portfolio governance70 cited
2010The Fed and the Question of Financial Stability: An Empirical Investigation52 cited
2017De Facto Seniority, Credit Risk, and Corporate Bond Prices50 cited
2010Fair Value Accounting for Financial Instruments: Does It Improve the Association Between Bank Leverage and Credit Risk?50 cited
2001The Valuation of Corporate Liabilities: Theory and Tests33 cited
2013Structured Debt Ratings: Evidence on Conflicts of Interest32 cited
2011Rating Agency Adjustments to GAAP Financial Statements and Their Effect on Ratings and Bond Yields32 cited
2009Executive Compensation and the Maturity Structure of Corporate Debt31 cited
2004Good News Is No News? The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities29 cited
2010Momentum in Corporate Bond Returns28 cited
2009The Implications of Hedge Fund Activism on the Target Firm’s Existing Bondholders25 cited
2013Dynamic Dependence in Corporate Credit25 cited
2008How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches24 cited