Research on the Impact of the Risk on Bond Returns in China

Xiuhua Zhang ()
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Xiuhua Zhang: Nanjing University of Finance & Economics

A chapter in Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023), 2023, pp 209-215 from Springer

Abstract: Abstract In recent years, with the development of the China’s bond market, the studies on bond pricing have become more and more numerous. In this paper, the impact of maturity risk, credit risk, and liquidity risk on bond pricing is analyzed, and the yield to maturity of enterprise bonds and corporate bonds is taken as the research object. Based on the Fama-French model, the liquidity risk factor measured by Amihud illiquidity is introduced, and the impact of different risks on the pricing of enterprise bonds and corporate bonds is compared. The results show that the maturity risk is not significant for the pricing of the two types of bonds, the credit risk significantly affects bond pricing, and the liquidity risk is significant for the pricing of corporate bonds.

Keywords: Bond pricing; Fama-French model; Liquidity risk; Enterprise bonds; Corporate bonds (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-142-5_24

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DOI: 10.2991/978-94-6463-142-5_24

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