Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market

Luo, Jian, Ye, Xiaoxia ORCID: 0000-0002-5024-6186 and Hu, May (2016) Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market. INTERNATIONAL REVIEW OF FINANCE, 16 (2). pp. 203-241.

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Abstract

<jats:title>Abstract</jats:title><jats:p>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.</jats:p>

Item Type:	Article
Depositing User:	Symplectic Admin
Date Deposited:	08 Jun 2018 10:33
Last Modified:	31 Oct 2023 02:42
DOI:	10.1111/irfi.12079
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3022075