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Citations for "Equity Volatility and Corporate Bond Yields"

by John Y. Campbell & Glen B. Taksler

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS. [Downloadable!]
  2. Schaber, Albert, 2008. "Combination notes: market segmentation and equity transfer," Discussion Papers in Business Administration 4151, University of Munich, Munich School of Management. [Downloadable!]
  3. Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, EconWPA. [Downloadable!]
  5. Bo Becker & Todd Milbourn, 2008. "Reputation and competition: evidence from the credit rating industry," Harvard Business School Working Papers 09-051, Harvard Business School, revised Jul 2009. [Downloadable!]
  6. Dragon Tang & Hong Yan, 2006. "Macroeconomic Conditions, Firm Characteristics, and Credit Spreads," Journal of Financial Services Research, Springer, vol. 29(3), pages 177-210, June. [Downloadable!] (restricted)
  7. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Security Design in the Real World: Why are Securitization Issues Tranched?," Economics Series Working Papers 225, University of Oxford, Department of Economics. [Downloadable!]
  8. Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche 0905, CIRPEE. [Downloadable!]
  9. Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009. "Multiple Ratings and Credit Spreads," NBER Working Papers 15331, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Galina Hale & Joao A. C. Santos, 2008. "Do banks price their informational monopoly?," Working Paper Series 2008-14, Federal Reserve Bank of San Francisco. [Downloadable!]
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  11. C. N. V. Krishnan & Peter H. Ritchken & James B. Thomson, 2003. "On credit spread slopes and predicting bank risk," Working Paper 0314, Federal Reserve Bank of Cleveland. [Downloadable!]
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  12. Diego Comin & Thomas Philippon, 2005. "The Rise in Firm-Level Volatility: Causes and Consequences," NBER Working Papers 11388, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  13. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO. [Downloadable!]
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  14. Jun Yang, 2008. "Macroeconomic Determinants of the Term Structure of Corporate Spreads," Working Papers 08-29, Bank of Canada. [Downloadable!]
  15. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  16. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis. [Downloadable!]
  17. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management. [Downloadable!]
  18. Byström, Hans N. E., 2005. "Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market," Working Papers 2005:24, Lund University, Department of Economics, revised 15 May 2005. [Downloadable!]
  19. Lara Cathcart & Lina El-Jahel, 2006. "Pricing defaultable bonds: a middle-way approach between structural and reduced-form models," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 243-253, June. [Downloadable!] (restricted)
  20. C. N. V. Krishnan & P. H. Ritchken & J. B. Thomson, 2003. "Monitoring and controlling bank risk: does risky debt serve any purpose?," Working Paper 0301, Federal Reserve Bank of Cleveland. [Downloadable!]
  21. Stuart M. Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Working Papers 08-1, Bank of Canada. [Downloadable!]
  22. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Documents de Travail 134, Banque de France. [Downloadable!]
  23. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007. [Downloadable!]
  24. Maciej Firla-Cuchra, 2005. "Explaining Launch Spreads on Structured Bonds," Economics Series Working Papers 230, University of Oxford, Department of Economics. [Downloadable!]
  25. Eduardo A. Cavallo & Patricio Valenzuela, 2007. "The Determinants of Corporate Risk in Emerging Markets: An Option-Adjusted Spread Analysis," RES Working Papers 4513, Inter-American Development Bank, Research Department. [Downloadable!]
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  26. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  27. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  28. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer, vol. 29(3), pages 211-235, June. [Downloadable!] (restricted)
  29. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers 11323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  30. John Ammer & Nathanael Clinton, 2004. "Good news is no news? The impact of credit rating changes on the pricing of asset-backed securities," International Finance Discussion Papers 809, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  31. Marco Taboga, 2009. "The riskiness of corporate bonds," Temi di discussione (Economic working papers) 730, Bank of Italy, Economic Research Department. [Downloadable!]
  32. Astrid Van Landschoot, 2004. "Determinants of Euro Term Structure of Credit Spreads," Research series 200407, National Bank of Belgium. [Downloadable!]
  33. Jan Willem van den End, 2006. "Indicator and boundaries of financial stability," DNB Working Papers 097, Netherlands Central Bank, Research Department. [Downloadable!]
  34. Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
  35. Gann, Philipp, 2008. "Der Internal Capital Adequacy Assessment Process als regulatorischer Treiber eines aktiven Kreditportfoliomanagements," Discussion Papers in Business Administration 4831, University of Munich, Munich School of Management. [Downloadable!]
  36. Martin Sullivan, 2009. "Credit Ratings and UK Defined Pension Fund Portfolio Values," Discussion Papers 0909, University of the West of England, Department of Economics. [Downloadable!]
  37. Maciej Firla-Cuchra & Tim Jenkinson, 2005. "Why are Securitization Issues Tranched?," OFRC Working Papers Series 2005fe04, Oxford Financial Research Centre. [Downloadable!]
  38. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September. [Downloadable!] (restricted)
  39. Galina Hale & João A. C. Santos, 2006. "Evidence on the costs and benefits of bond IPOs," Working Paper Series 2006-42, Federal Reserve Bank of San Francisco. [Downloadable!]
  40. Castagnetti, Carolina & Rossi, Eduardo, 2008. "Euro corporate bonds risk factors," MPRA Paper 13440, University Library of Munich, Germany. [Downloadable!]
  41. Landschoot, A. van, 2003. "The term structure of credit spreads on euro corporate bonds," Discussion Paper 46, Tilburg University, Center for Economic Research. [Downloadable!]
  42. Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research. [Downloadable!]
  43. Georges Dionne & Pascal François & Olfa Maalaoui, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche 0929, CIRPEE. [Downloadable!]
  44. Astrid Van Landschoot, 2004. "Determinants of euro term structure of credit spreads," Working Paper Series 397, European Central Bank. [Downloadable!]
  45. Chen, Jing & Chollete, Lorán, 2006. "Financial Distress and Idiosyncratic Volatility: An Empirical Investigation," Discussion Papers 2006/8, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  46. Ingo Fender & Martin Scheicher, 2009. "Fiscal behaviour in the European Union - rules, fiscal decentralization and government indebtedness," Working Paper Series 1056, European Central Bank. [Downloadable!]
  47. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics. [Downloadable!]
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This page was last updated on 2010-1-5.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.