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
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)