Show simple item record

dc.contributor.authorLuo, J.*
dc.contributor.authorYe, Xiaoxia*
dc.contributor.authorHu, M.*
dc.date.accessioned2017-03-30T15:42:21Z
dc.date.available2017-03-30T15:42:21Z
dc.date.issued2016-03-03
dc.identifier.citationLuo J, Ye X and Hu M. (2016) Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market. International Review of Finance. 16(2): 203-241.en_US
dc.identifier.urihttp://hdl.handle.net/10454/11743
dc.descriptionyesen_US
dc.description.abstractIn 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 as well as risk premia and the stock index, and these results are somewhat attributed to this puzzle.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttp://dx.doi.org/10.1111/irfi.12079en_US
dc.rights© 2016 Wiley. This is the peer reviewed version of the following article: 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. 16(2): 203-241, which has been published in final form at http://dx.doi.org/10.1111/irfi.12079. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.en_US
dc.subjectChina’s corporate bond market; Credit risk; Term structure of yields;en_US
dc.titleCounter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Marketen_US
dc.status.refereedYesen_US
dc.date.application2016-03-03
dc.typeArticleen_US
dc.type.versionAccepted Manuscripten_US


Item file(s)

Thumbnail
Name:
FULLTEXT01.pdf
Size:
959.5Kb
Format:
PDF
Description:
Keep suppressed no coversheet ...
Thumbnail
Name:
FULLTEXT01-1.pdf
Size:
1.119Mb
Format:
PDF
Description:
Main article

This item appears in the following Collection(s)

Show simple item record