Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market
dc.contributor.author | Luo, J. | * |
dc.contributor.author | Ye, Xiaoxia | * |
dc.contributor.author | Hu, M. | * |
dc.date.accessioned | 2017-03-30T15:42:21Z | |
dc.date.available | 2017-03-30T15:42:21Z | |
dc.date.issued | 2016-03-03 | |
dc.identifier.citation | 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. | en_US |
dc.identifier.uri | http://hdl.handle.net/10454/11743 | |
dc.description | yes | en_US |
dc.description.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 as well as risk premia and the stock index, and these results are somewhat attributed to this puzzle. | en_US |
dc.language.iso | en | en_US |
dc.relation.isreferencedby | http://dx.doi.org/10.1111/irfi.12079 | en_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.subject | China’s corporate bond market; Credit risk; Term structure of yields; | en_US |
dc.title | Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market | en_US |
dc.status.refereed | Yes | en_US |
dc.date.application | 2016-03-03 | |
dc.type | Article | en_US |
dc.type.version | Accepted Manuscript | en_US |