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

DOI

10.2991/978-94-6463-142-5_24How to use a DOI?

Keywords

Bond pricing; Fama-French model; Liquidity risk; Enterprise bonds; Corporate bonds

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.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

TY  - CONF
AU  - Xiuhua Zhang
PY  - 2023
DA  - 2023/05/15
TI  - Research on the Impact of the Risk on Bond Returns in China
BT  - Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)
PB  - Atlantis Press
SP  - 209
EP  - 215
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-142-5_24
DO  - 10.2991/978-94-6463-142-5_24
ID  - Zhang2023
ER  -