The Cross-market Effects of Stock Market System Risk Factors on the Corporate Bond Pricing: Empirical Study Based on the Panel Data Model

Chenggang LI, Yixiang TIAN, Cong LUO

Abstract


The research in capital asset pricing focuses on the pricing within the market, and the research on cross-market pricing are relatively small. Using corporate bonds in Shanghai and Shenzhen Stock Exchange from January 1st, 2001 to March 31st, 2010 as the sample, this paper investigates the cross-market effects of stock market system risk factors on the corporate bond pricing in China. The results shows that in the longer term and the lower the credit rating of corporate bonds, the stock market system risk factors receive higher risk compensation; system risk factors of stock market have strong cross-market effects on corporate bond yields; bond pricing structure model variables and target firm characteristics variables significantly affects the bond yield spreads.
Key words: Systematic risk factor; Cross-market; Pricing; Corporate bonds


Résumé: La recherche en matière de tarification des immobilisations se concentre sur les prix dans le marché, et la recherche sur la croisée du marché de prix sont relativement faibles. Utiliser des obligations d'entreprises à Shanghai et à Shenzhen Stock Exchange du 1er Janvier 2001 au 31 Mars 2010, comme l'échantillon, cette étude examine les effets croisés de marché des facteurs de risque de marché d'actions sur le système de fixation des prix des obligations d'entreprises en Chine. Les résultats montrent que dans le long terme et la baisse la cote de crédit des obligations de sociétés, les facteurs de risque du marché actions du système recevoir une indemnisation plus élevée de risque, les facteurs de risque du système des marchés boursiers ont fortement effets croisés sur les rendements des obligations d'entreprises; modèle de la structure des prix obligataires variables et les variables caractéristiques de l'entreprise cible affecte de manière significative les écarts de rendement obligataire.
Mots clés: Facteur de risque systématique; Croix¬ marché; Tarification; Obligations de sociétés


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DOI: http://dx.doi.org/10.3968/j.css.1923669620110704.Z119

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