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Equity volatility and corporate bond yields

Article Abstract:

Research shows that idiosyncratic corporate volatility is just as valid an explanation for cross-sectional variation in corporate bond yields as is credit ratings, which may explain recent yield increases. Findings were obtained from panel data from the late 1990s.

Author: Campbell, John Y., Taksler, Glen B.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
Yield (Investments)

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Hedging in the possible presence of unspanned stochastic volatility: evidence from swaption markets

Article Abstract:

Research indicates that London Interbank Offered Rate bonds can adequately hedge both swaptions and swaption straddles. Factors influencing swaption prices without influencing swap rates outside LIBOR bonds were found to be minor.

Author: Gupta, Anurag, Ritchken, Peter, Rong Fan
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
Management dynamics, Methods, Management, Company business management, Swaps (Finance)

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Unspanned stochastic volatility: evidence from hedging interest rate derivatives

Article Abstract:

A study examining structure models explaining hedging caps and cap straddles as well as at-the money straddle hedging-errors and its relation with cap-implied volatilities, is presented.

Author: Li, Haitao, Zhao, Feng
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2006
Interest Rates, Analysis

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Subjects list: Economic aspects, Comparative analysis, Corporate bonds, United States, Hedging (Finance)
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