This paper explores the impact of equity volatility on corporate bond yields, using panel data from the late 1990s. The authors find that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as credit ratings do. This finding, combined with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps explain recent increases in corporate bond yields. The paper also examines the longer-term time-series behavior of corporate bond yields, finding that movements in idiosyncratic volatility help explain these movements in average yields over time. The authors conclude that equity volatility is an important factor in understanding the movements in aggregate corporate bond yield spreads, both over the last few decades and in the late 1990s.This paper explores the impact of equity volatility on corporate bond yields, using panel data from the late 1990s. The authors find that idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as credit ratings do. This finding, combined with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps explain recent increases in corporate bond yields. The paper also examines the longer-term time-series behavior of corporate bond yields, finding that movements in idiosyncratic volatility help explain these movements in average yields over time. The authors conclude that equity volatility is an important factor in understanding the movements in aggregate corporate bond yield spreads, both over the last few decades and in the late 1990s.