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合理的公司债定价机制,对推动中国债券市场与金融市场的健康稳定发展具有重要的现实意义。本文选取上市公司发行的中长期公司债券作为研究对象,从微观风险补偿的视角,实证研究信用风险与流动性风险对公司债收益率的影响。结果表明:在上交所发行的中长期公司债都能较好的反映债券隐含的风险,信用风险和流动性风险较高的债券,收益率也较高;在深交所发行的债券,除中期债券的收益率对流动性风险有所体现外,未能很好地反映出市场对债券风险所需的风险溢价。
Reasonable corporate bond pricing mechanism is of great practical significance in promoting the healthy and stable development of China’s bond market and financial market. In this paper, the mid- and long-term corporate bonds issued by listed companies are selected as research objects. The impact of credit risk and liquidity risk on the corporate bond yields is empirically investigated from the perspective of micro-risk compensation. The results show that both long-term and long-term corporate bonds issued by the Shanghai Stock Exchange can better reflect the hidden risks of bonds, credit risk and higher liquidity risk bonds, the yield is higher; in the issuance of bonds in the Shenzhen Stock Exchange, in addition to medium-term bonds Of the rate of return for the liquidity risk reflected, did not well reflect the market risk bond required for the risk premium.