Higher Volatility with Lower Credit Spreads: The Puzzle and Its Solution
This dissertation explains the puzzling negative relationship between changes in stock volatility and credit spreads of corporate bonds. This relationship has been encountered in some empirical studies but has remained unexplained in the theoretical literature, which unanimously suggests the opposit...
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| Language: | English |
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2017
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| Online Access: | https://doi.org/10.7916/D8NZ8KXR |