, 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 …

We examine the relationship between trading activity and price volatility in Indonesia corporate bond market using 2010 … frequency have a positive and significant correlation to bond volatility, which is consistent with information-based model. The … relationship between trading volume and price volatility. Credit quality, however, do not have similar effects on volatility where …

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 …

Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases … in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility … changes carry information about fundamental news, our evidence suggests that implied volatility changes contain information …

factors and equity volatility factors. The paper finds strong evidence that the volatility factors, especially the volatility … Granger causality from credit spreads to equity volatility, operating through the slope factors, consistent with the market …