, 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 …

equity volatility with high-frequency measures, liquidity costs explain a substantial fraction of the variation in the yield …

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 …

state dependent diffusion volatility following the constant elasticity of variance (CEV) process for the variables of … constant volatility (zero elasticity) assumption of earlier studies. We find that the elasticity is significantly different … from zero for most of the firms in our sample, and that the CEV model performs much better than constant volatility in …

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 …