Corporate credit risk and bond yield spreads: Market reactions to the spreads

Haiyan Dai, Xueqin Dong and Fang Xue

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: This article utilizes panel data from corporate bonds between 2014 and 2022 to explore the relationship between corporate credit risk and bond yield spreads. The findings indicate a positive correlation between corporate credit risk and bond yield spreads, a relationship that is mediated through market liquidity. Further analysis reveals that the impact of corporate credit risk on bond yield spreads is more significant in large corporations and in samples post-2018. These findings provide solid empirical support for corporate decision-makers to focus on corporate credit risk.

Keywords: Corporate Credit Risk; Bond Yield Spreads; Market Liquidity (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009632

DOI: 10.1016/j.frl.2024.105933

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