, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …-bond volatility relation is important even after controlling for equity volatility. The relation between yield spreads and … investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility …

In contrast to earlier decades, since the early 2000s, the average idiosyncratic volatility of stocks has fallen back … to its pre-1990s level. Here, we examine whether decreasing volatility still helps to explain the cross … average bond returns and lag idiosyncratic volatility are positively associated. The average returns on bonds with high …

risk. This paper analyzes the relevance of inflation volatility risk as an additional factor predicting the cross …-section of corporate bond returns. I find a negative and significant inflation volatility risk premium (IVRP) obtained from the …

This research investigates the impact of interest rate volatility upon corporate bond yield spreads. We first consider … the impact of interest rate volatility upon noncallable bond spreads. Because greater interest rate volatility likely … increases the volatility of the firm's debt, we hypothesize the relation will be positive. Given that we do find a positive …

of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …