2022
DOI: 10.1155/2022/6331366
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Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk

Abstract: This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market. Our research shows that the channels through which liquidity risk affects corporate bond return are individual bond liquidity risk, the interaction between individual bond liquidity risk and market liquidity risk. The channels through which credit risk affects corporate bond return are individual bond credit risk, the interaction between individual … Show more

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