Equity Volatility and Corporate Bond Yields

By John Y. Campbell, Glen B. Taksler. 2002

1,254 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/a09f3250fbc8601e546930a9bde8dcc96c864cb0

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Citations in the corpus

What drives Credit Risk in Emerging Markets? The Roles of Country Fundamentals and Market Co-movements (2006, neutral): “In contrast to Campbell and Taksler (2003), who find for companies that firm-specific volatility is important for bond yields, we find for sovereign bonds that country-specific returns and volatility are less important than global and regional returns and volatility.”
Did CDS Trading Improve the Market for Corporate Bonds (2014, neutral): “The LOT measures for institutional trades relatively increase post-CDS for the CDS issuers more than that for the control sample, suggesting that liquidity in this segment of (18)Campbell and Taksler (2003) report that insurance companies account for about one-third of all institutional bond holding”
Differential properties in the ratings of certified versus non-certified bond-rating agencies (2006, positive): “In addition to the above-mentioned issue characteristics, following Blume et al. (1998) and Campbell and Taksler (2003), we also control for the following issuer characteristics: Name: Description: Pre-Tax Interest Coverage [Operating income (178) + interest expense (15)] / [interest expense (15)].”
Does mandatory IFRS adoption facilitate debt financing? (2015, neutral): “For the IFRS indicator variables, we adopt Daske et al.’s (2008) research design and define two binary variables as follows: (a) First-Time Mandatory, which refers to observations of firms that did not report under IFRS before the mandatory adoption.”
Disappearing Dividends, Catering, and Risk (2009, neutral): “(2001), Campbell and Taksler (2003), Brandt, Brav, and Graham (2005), and Fink et al.”
Regulatory Pressure and Fire Sales in the Corporate Bond Market (2011, positive): “Our sample period is from 2001 to 2005.8 NAIC data, for different sample periods, are used by Schultz (2001), Campbell and Taksler (2003), Krishnan, Ritchken and Thomson (2005), and Bessembinder, Maxwell and Venkataraman (2006) among others.9 While the NAIC data are not 8 NAIC data that we have…”
Understanding Changes in Corporate Credit Spreads (2007, positive): “Company-level idiosyncratic equity volatility was computed as the difference between monthly market volatility and monthly total company-level volatility, as in Campbell et al. (2001). Because our analysis focuses on the determinants of changes in corporate credit spreads, we used changes in volatil”
Does the CDS Market Reflect Regulatory Climate Risk Disclosures? (2020, positive): “As a proxy for the asset volatility (Vol), we follow Campbell and Taksler (2003) by computing the standard deviation of stock returns using the most recent 180 days. By relying on historical volatility, the results are in line with those of Han and Zhou (2015) using the stock-specific implied volati”
Corporate Bond Credit Spreads and Forecast Dispersion (2010, positive): “To begin, the sample properties of credit spreads are in line with other studies, such as Huang and Huang (2003) or Campbell and Taksler (2003), the mean credit spread is 100 basis points with a standard deviation of 60.”
Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks? (2011, positive): “Campbell and Taksler (2003) find that equity volatility is an important determinant of yield spread on bonds and the effect is relatively higher for firms with higher long-term debt-to-total assets and total debt-to-equity ratios.”
The Determinants of CDS Spreads (2014, neutral): “The expected relation between term-structure slope and 1 In their base case regressions, Campbell and Taksler (2003) construct historical volatility based on 180 days of return.”