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2 edition of Equity volatility and corporate bond yields found in the catalog.

Equity volatility and corporate bond yields

John Y. Campbell

Equity volatility and corporate bond yields

by John Y. Campbell

  • 175 Want to read
  • 30 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Bonds -- Prices -- United States.,
  • Rate of return -- United States.

  • Edition Notes

    StatementJohn Y. Campbell, Glen B. Taksler.
    SeriesNBER working paper series -- no. 8961, Working paper series (National Bureau of Economic Research) -- working paper no. 8961.
    ContributionsTaksler, Glen B., National Bureau of Economic Research.
    The Physical Object
    Pagination25, [20] p. :
    Number of Pages25
    ID Numbers
    Open LibraryOL22435650M

      Broad-based equity markets have been on a rollercoaster ride since Jan. 30, , as market participants appear to be reassessing the impact of inflation and potential consequences from the recent tax reform. While volatility appears to be back, high-grade corporate bond spreads have tightened to levels not seen since The authors investigate the impact that interest rate volatility and equity volatility have on corporate bond yield spreads. In addition, they explore the effect of interest rate volatility on noncallable bond spreads versus the spread of bonds with embedded call options.

      The impact of interest rate volatility upon the second term, variance of V A, t, is not as obvious but would appear to tend positive because Var (V A,t) is the weighted average of the volatility of the firm's debt and volatility of the firm's equity. 8 As suggested by a theory given in Campbell and Taksler () and others, Var (V A,t) is a weighted average of the firm's debt volatility and.   Bond yields have generally been lower since , and this has contributed to the rise of the stock yields in the U.S. declined along with interest rates after the .

      The negative volatility risk premium is consistent with the findings in the options and equity markets (see Bakshi et al., , Ang et al., , Cao and Han, , Cremers et al., ), suggesting that the equity-based volatility risk factor priced in these markets is also priced in the corporate bond market. This evidence lends support to.   Yields have fallen so sharply that it’s tough to argue that it’s an opportune time to allocate more to high-quality bonds, such as Treasuries. Yet we believe it’s too early to jump into the riskier segments of the fixed income market, such as high-yield bonds. year Treasury yields dropped as coronavirus outbreak weighed on growth.


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Equity volatility and corporate bond yields by John Y. Campbell Download PDF EPUB FB2

That equity volatility and credit ratings each explain about a third of the varia-tion in corporate bond yield ¢nding is robust to the use of issuer ¢xed e¡ also explore the longer-term time-series behavior of corporate bond yields, as summarized by S&P and Moody’s yield indexes.

JOHN Y. CAMPBELL and GLEN R*. ABSTRACT. This paper explores the effect of equity volatility on corporate bond yields. Pa. nel data for the late s show that idiosyncratic firm-level volatility can ex.

plain as much cross-sectional variation in yields as can credit ratings. This. Abstract. This paper explores the effect of equity volatility on corporate bond yields.

Panel data for the late 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 (), helps to explain recent increases in corporate bond by: Equity Volatility and Corporate Bond Yields John Y.

Campbell, Glen B. Taksler. NBER Working Paper No. Issued in May NBER Program(s):Asset Pricing. This paper explores the effect of equity volatility on corporate bond by:   Abstract This paper explores the effect of equity volatility on corporate bond yields.

Panel data for the late s show that idiosyncratic firm-level volatility can explain as much. Corporate Yield Spreads and Bond Liquidity We examine whether liquidity is priced in corporate yield spreads.

Using a battery of liquidity measures covering over corporate bonds and spanning investment grade and speculative categories, we find that more illiquid bonds earn higher yield spreads; and that an improvement of liquidity causes a. Equity volatility and corporate bond yields.

Journal of Finance 58(6): Abstract This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings.

This finding, together. This paper explores the effect of equity volatility on corporate bond yields. Pa- nel data for the late s show that idiosyncratic firm-level volatility can ex- plain as much cross-sectional variation in yields as can credit ratings.

Abstract This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings.

Abstract This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings.

Abstract This study examines the impact of implied and contemporaneous equity market volatility on Treasury yields, corporate bond yields, and yield spreads over Treasuries. The CBOE VIX is the. This paper explores the effect of equity volatility on corporate bond yields.

Panel data for the late '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 Cited by: Get this from a library. Equity volatility and corporate bond yields.

[John Y Campbell; Glen B Taksler; National Bureau of Economic Research.]. This ¢nding, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (), helps to explain recent increases in corporate bond yields.

DURING THE LATE s, THE U.S. EQUITY and corporate bond markets behaved very di¡erently. Abstract: This paper explores the effect of equity volatility on corporate bond yields.

Panel data for the late 's show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings.

Equity Snapshot Country Performance Sector Performance Investment Style Leadership Global Market Valuations Historical Market Valuations Bond Market Snapshot Maturity/Credit Performance Yield and Volatility U.S. Treasury Bonds Municipal Bonds Corporate Bond Yields Bonds Spreads Sector Yields & Returns Mutual Fund Performance.

The Bloomberg Barclays U.S. Corporate Year Bond Index offers a yield-to-worst of roughly %, while Treasuries with maturities of five years or less all offer yields of less than %. 2 While we recognize that a sub 2% yield is likely not very attractive in absolute terms, we believe intermediate-term investment-grade corporate bonds can.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper explores the e¡ect of equity volatility on corporate bond yields.

Panel data for the late s show that idiosyncratic ¢rm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This ¢nding, together with the upward trend in idiosyncratic equity volatility.

Equity Volatility and Corporate Bond Yields. by John Y. Campbell of Harvard University, and Glen B. Taksler of Harvard University.

December Abstract: This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings.

Equity Volatility and Corporate Bond Yields. John Campbell and Glen Taksler. Scholarly Articles from Harvard University Department of Economics.

Abstract: This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late s show that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings.

volatility, both via the volatility of the risk free component and the spread component (expectations of tighter policy can end up triggering concerns about a pickup in corporate defaults). Most of the time, equity volatility and high yield bond volatility are highly.Equity Volatility and Corporate Bond Yields.

Autores: John Y. Campbell, Glen B. Taksler Localización: The Journal of finance, ISSNVol. 58, Nº 6,págs. Idioma: inglés Resumen. This paper explores the effect of equity volatility on corporate bond yields.Campbell JY, Taksler GB. Equity Volatility and Corporate Bond Yields. Journal of Finance.

;LVIII (6)Cited by: