会议专题

An empirical study of individual factors that influence Chinas corporate bond spread

based on the deduced individual factors that influence corporate bond spread from two theoretical basis, structural model and financial ratios, this paper makes an empirical study of these factors’ explanatory power of China’s corporate bond spread. Our first finding is the lack of liquidity directly leads to the heavy dependence of bond spread on maturity. Contrasting with most qualitative findings, our results show that China’s bond spread has already contained the default risk compensation, which manifests the advance of bond market pricing. As to the theoretical foundation, it seems financial ratio method is more suitable, which may be either caused by deficiency of price discovery in stock market, or the serious segmentation of bond and stock market.

corporate bond credit spread structural model liquidity

任兆璋 李鹏

华南理工大学金融工程研究中心,510640

国际会议

2005年中国国际金融年会

昆明

英文

2005-07-05(万方平台首次上网日期,不代表论文的发表时间)