公司债非流动性与风险溢价--基于中国的实证研究 (The Illiquidity of Corpornate Bonds and Risk Premium--Empirical Evidence from China)

This paper examines the factors which affect the illiquidity from bond characteristics and market variables through four popular illiquidity measures. The paper also study how the illiquidity, equity volatility and stamp tax affect corporate bonds' yield spreads. Findings suggest that Amihud(2002) measure does well measuring the illiquidity of corporate bond. In the cross-section, only Amihud (2002) illiquidity measure is significantly positively correlated with bond risk premium. Empirical study also present equity volatility and twice stamp tax adjustments in 2008 to be important in explaining risk premium. After controlling for credit risk, a 10 percentage point increase in the annualized equity volatility of a bond issuer is associated with a 45 bp increase in the bond yield spread. Bond investors respectively require about 50 bp and 60 bp for their extra risk compensation after the stamp duty adjustment on April 24, 2008 and September 19, 2008