Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk

Zijian Wu, Baochen Yang, Yunpeng Su and Faheem Aslam

Complexity, 2022, vol. 2022, 1-15

Abstract: This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market. Our research shows that the channels through which liquidity risk affects corporate bond return are individual bond liquidity risk, the interaction between individual bond liquidity risk and market liquidity risk. The channels through which credit risk affects corporate bond return are individual bond credit risk, the interaction between individual bond credit risk and market credit risk. The main channel through which the interaction between liquidity risk and credit risk affects corporate bond return is the interaction between individual bond liquidity risk and market credit risk. The model reveals the impact mechanism of individual risk and market risk on bond return and explains why the interaction between liquidity risk and credit risk affects bond pricing.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2022/6331366.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2022/6331366.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:6331366

DOI: 10.1155/2022/6331366

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().