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

In: Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)

Author

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  • Xiuhua Zhang

    (Nanjing University of Finance & Economics)

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.

Suggested Citation

  • Xiuhua Zhang, 2023. "Research on the Impact of the Risk on Bond Returns in China," Advances in Economics, Business and Management Research, in: Yushi Jiang & Guangming Li & Wilson Xinbao Li (ed.), Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023), pages 209-215, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-142-5_24
    DOI: 10.2991/978-94-6463-142-5_24
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