Implied Volatility Changes and Corporate Bond Returns

The authors thank the editor, Haoxiang Zhu; an anonymous associate editor; and two anonymous reviewers as well as Jack Bao, Olivier Blin, Guido Bolliger, Zhi Da, Kent Daniel, Kewei Hou, Jianfeng Hu, Ron Kaniel, Neil Pearson, M. Fabricio Perez, Luis Goncalves-Pinto, Maureen O’Hara, Norman Seeger, and Sheridan Titman as well as seminar participants at Bayes Business School, Chinese University of Hong Kong, Indian School of Business Hyderabad, Singapore Management University, Sun Yat-sen University, Unigestion, and Vrije University Amsterdam for helpful discussions and useful suggestions. The authors have benefited from the comments of participants at the 2019 Northern Finance Association Annual Meeting, 2019 OptionMetrics Conference, 2019 Taiwan Finance Association Conference, the Second Derivatives and Quantitative Investing Conference at Chinese University of Hong Kong, the 2020 European Finance Association Annual Meeting, and the 2021 American Finance Association Annual Meeting. All errors are their own.