The cross-section of Chinese corporate bond returns
被引:4
作者:
Zhang, Xiaoyan
论文数: 0引用数: 0
h-index: 0
机构:
Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R ChinaTsinghua Univ, PBC Sch Finance, Beijing, Peoples R China
Zhang, Xiaoyan
[1
]
Zhang, Zijian
论文数: 0引用数: 0
h-index: 0
机构:
Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R ChinaTsinghua Univ, PBC Sch Finance, Beijing, Peoples R China
Zhang, Zijian
[1
]
机构:
[1] Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China
来源:
JOURNAL OF FINANCE AND DATA SCIENCE
|
2023年
/
9卷
基金:
中国国家自然科学基金;
关键词:
Chinese corporate bond;
Interbank and exchange markets;
Bond characteristics;
Hansen-Jagannathan distance;
COMMON RISK-FACTORS;
SPECIFICATION ERRORS;
LIQUIDITY;
ILLIQUIDITY;
COSTS;
D O I:
10.1016/j.jfds.2023.100100
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
We study the relation between bond characteristics and corporate bond returns in China's two distinct and segmented bond markets-the interbank market and the exchange market-with a large cross-sectional dataset of 8318 corporate bonds from January 2010 to December 2022. Corporate bonds with large sizes, long maturities, old ages, poor credit ratings and large Amihud illiquidity earn high monthly returns in the interbank market. The return predictive patterns of bond size, time to maturity, and credit rating are similar in the exchange market, but bond age and Amihud illiquidity predict returns in the opposite direction, implying market segmentation. We construct two factors based on credit rating and Amihud illiquidity to represent the common risk of corporate bonds-credit risk and liquidity risk-and use the Hansen-Jagannathan distance to evaluate the performances of factors in explaining the returns of corporate bond portfolios. We find that the two characteristic-based factors help reduce the model specification errors of the five factors in Fama and French (1993).
机构:
Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USAGeorgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA
Bai, Jennie
Bali, Turan G.
论文数: 0引用数: 0
h-index: 0
机构:
Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USAGeorgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA
Bali, Turan G.
Wen, Quan
论文数: 0引用数: 0
h-index: 0
机构:
Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USAGeorgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA
机构:
Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USAOhio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
Bao, Jack
Pan, Jun
论文数: 0引用数: 0
h-index: 0
机构:
MIT, Sloan Sch Management, CAFR, Cambridge, MA 02139 USA
NBER, Cambridge, MA 02138 USAOhio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
Pan, Jun
Wang, Jiang
论文数: 0引用数: 0
h-index: 0
机构:
MIT, Sloan Sch Management, CAFR, Cambridge, MA 02139 USA
NBER, Cambridge, MA 02138 USAOhio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
机构:
Tsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R ChinaTsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China
Chen, Zhuo
He, Zhiguo
论文数: 0引用数: 0
h-index: 0
机构:
Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA
NBER, 5807 S Woodlawn Ave, Chicago, IL 60637 USATsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China
He, Zhiguo
Liu, Chun
论文数: 0引用数: 0
h-index: 0
机构:
Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R ChinaTsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China
机构:
Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USAGeorgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA
Bai, Jennie
Bali, Turan G.
论文数: 0引用数: 0
h-index: 0
机构:
Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USAGeorgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA
Bali, Turan G.
Wen, Quan
论文数: 0引用数: 0
h-index: 0
机构:
Georgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USAGeorgetown Univ, McDonough Sch Business, 3700 O St, Washington, DC 20057 USA
机构:
Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USAOhio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
Bao, Jack
Pan, Jun
论文数: 0引用数: 0
h-index: 0
机构:
MIT, Sloan Sch Management, CAFR, Cambridge, MA 02139 USA
NBER, Cambridge, MA 02138 USAOhio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
Pan, Jun
Wang, Jiang
论文数: 0引用数: 0
h-index: 0
机构:
MIT, Sloan Sch Management, CAFR, Cambridge, MA 02139 USA
NBER, Cambridge, MA 02138 USAOhio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
机构:
Tsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R ChinaTsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China
Chen, Zhuo
He, Zhiguo
论文数: 0引用数: 0
h-index: 0
机构:
Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA
NBER, 5807 S Woodlawn Ave, Chicago, IL 60637 USATsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China
He, Zhiguo
Liu, Chun
论文数: 0引用数: 0
h-index: 0
机构:
Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R ChinaTsinghua Univ, PBC Sch Finance, 43 Chengfu Rd, Beijing 100083, Peoples R China