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

Luo, J, Ye, X and Hu, M 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.

Document type: Journal Article
Collection: Journal Articles

Title Counter-Credit-Risk Yield Spreads: A Puzzle in China's Corporate Bond Market
Author(s) Luo, J
Ye, X
Hu, M
Year 2016
Journal name International Review of Finance
Volume number 16
Issue number 2
Start page 203
End page 241
Total pages 39
Publisher Wiley-Blackwell Publishing Asia
Abstract 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.
Subject Banking, Finance and Investment not elsewhere classified
DOI - identifier 10.1111/irfi.12079
Copyright notice © 2016 International Review of Finance Ltd
ISSN 1369-412X
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