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Counter-credit-risk yield spreads: a puzzle in China's corporate bond market

Luo, Jian, Ye, Xiaoxia and Hu, May 2016, Counter-credit-risk yield spreads: a puzzle in China's corporate bond market, International review of finance, vol. 16, no. 2, pp. 203-241, doi: 10.1111/irfi.12079.

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Title Counter-credit-risk yield spreads: a puzzle in China's corporate bond market
Author(s) Luo, Jian
Ye, Xiaoxia
Hu, May
Journal name International review of finance
Volume number 16
Issue number 2
Start page 203
End page 241
Total pages 39
Publisher Wiley
Place of publication London, Eng.
Publication date 2016-06
ISSN 1369-412X
1468-2443
Summary In this paper, using China's risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China's credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates and risk premia and the stock index, and these results are somewhat attributed to this puzzle.
Language eng
DOI 10.1111/irfi.12079
Field of Research 1502 Banking, Finance And Investment
150299 Banking, Finance and Investment not elsewhere classified
Socio Economic Objective 900199 Financial Services not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30082509

Document type: Journal Article
Collection: Department of Finance
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