TAILIEUCHUNG - Relating Equity and Credit Markets through Structural Models: Evidence from Volatilities

Final reclamation occurs when an operator determines, and BLM agrees, that a well has no economic value. The terms of final reclamation are included in the lease and the drilling permit. 8 The operator must follow the agreed-upon final reclamation plan, including plugging the wells, removing all visual evidence of the well and drill pad, recontouring the affected land, and revegetating the site with native plant species. In general, the goal is to reclaim the well site so that it matches the surrounding natural environment to the extent possible. BLM then inspects the site to monitor the success of the reclamation,. | Relating Equity and Credit Markets through Structural Models Evidence from Volatilities Jack Bao and Jun Pan May 7 2012 Abstract This paper examines the connection between the return volatilities of credit market securities equities and Treasuries using a Merton model with stochastic interest rates. Focusing primarily on monthly bond and CDS returns we find that the credit market exhibits volatility in excess of what the equity market and the Merton model suggest. In conjunction with the evidence in Schaefer and Strebulaev 2008 this suggests that while the co-movement of returns in the credit and equity markets can be characterized correctly on average by a Merton model the value in credit markets sometimes deviates from fundamentals. Furthermore we find that the excess volatility in credit markets is associated with less liquid issues and issues with poorer ratings but does not appear to be worse at the height of the Financial Crisis. Bao is at the Fisher College of Business Ohio State University bam40@. Pan is at the MIT Sloan School of Management and NBER junpan@. This paper was previously circulated as Excess Volatility of Corporate Bonds . We have benefited from comments from and discussions with Geert Bekaert editor two anonymous referees Sreedhar Bharath Fousseni Chabi-Yo Burton Hollifield Kewei Hou Xing Hu Hayne Leland Dimitris Papanikolaou Jiang Wang Ingrid Werner and seminar participants at the AFA 2009 meetings Berkeley Boston University Economics Chung Hsing University Cheng Kung University the MIT Finance Lunch National Taiwan University the FM program at Stanford and the University of South Carolina Fixed Income Conference. We thank Duncan Ma for assistance in gathering the Bloomberg data and financial support from the . Morgan Outreach Program. All remaining errors are our own. 1 1 Introduction Research in structural models of default has largely found that these models fail in explaining the level of debt prices. Huang and .

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