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

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  • Dai, Haiyan
  • Dong, Xueqin
  • Xue, Fang

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.

Suggested Citation

  • Dai, Haiyan & Dong, Xueqin & Xue, Fang, 2024. "Corporate credit risk and bond yield spreads: Market reactions to the spreads," Finance Research Letters, Elsevier, vol. 67(PB).
    • Handle: RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009632
    DOI: 10.1016/j.frl.2024.105933
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    1. Guo, Jing & Yu, Jiaqi & Tian, Ziqing, 2025. "Financial technology, population aging, and corporate innovation," International Review of Financial Analysis, Elsevier, vol. 100(C).

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