Anmerkungen:
In: Forthcoming in International Review of Finance
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2, 2016 erstellt
Beschreibung:
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