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Counter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.ORCID iD: 0000-0003-4849-2553
2016 (English)In: International Review of Finance, ISSN 1369-412X, E-ISSN 1468-2443Article in journal (Refereed) Epub ahead of print
Abstract [en]

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.

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Business Administration
URN: urn:nbn:se:su:diva-127473DOI: 10.1111/irfi.12079OAI: diva2:909271
Available from: 2016-03-05 Created: 2016-03-05 Last updated: 2016-04-04

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