[1] BAO J, PAN J, WANG J. The illiquidity of corporate bonds[J]. Journal of Finance, 2012, 66(3): 911-946. [2] HE Z G, XIONG W. Rollover risk and credit risk[J]. Journal of Finance, 2012, 67(2): 391-430. [3] LELAND H E, TOFT K B. Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads[J]. Journal of Finance, 1996, 51(3): 987-1019. [4] HUANG H H, HUANG H Y, OXMAN J J. Stock liquidity and corporate bond yield spreads: Theory and evidence[J]. Journal of Financial Research, 2015, 38(1): 59-91. [5] 陈学彬, 曾裕峰. 中美股票市场和债券市场联动效应的比较研究——基于尾部风险溢出的视角[J]. 经济管理, 2016, 38(7): 1-13. CHEN Xuebin, ZENG Yufeng. A comparative study of co-movement between stock and bond markets in China and the US: Based on the perspective of tail risk spillover effect[J]. Economic Management Journal, 2016, 38(7): 1-13. [6] BRUNNERMEIER M K, PEDERSEN L H. Market liquidity and funding liquidity[J]. Review of Financial Studies, 2009, 22(6): 2201-2238. [7] MERTON R C. On the pricing of corporate debt: The risk structure of interest rates[J]. Journal of Finance, 1974, 29(2): 449-470. [8] BLACK F, COX J C. Valuing corporate securities: Some effects of bond indenture provisions[J]. Journal of Finance, 1976, 31(2): 351-367. [9] LONGSTAFF F A, SCHWARTZ E. A simple approach to valuing risky fixed and floating rate debt[J]. Journal of Finance, 1995, 50(3):789-819. [10] JARROW R A, TURNBULL S M. Pricing options on derivative securities subject to credit risk[J]. Journal of Finance, 1995, 50(1): 53-85. [11] DUFFIE D, SINGLETON K J. Modeling term structure of defaultable bonds[J]. The Review of Financial Studies, 1999, 12(4): 687-720. [12] COLLIN-DUFRESNE P, GOLDSTEIN R S, MARTIN J S. The determinants of credit spread changes[J]. Journal of Finance, 2001, 56(6): 2177-2207. [13] CAMPBELL J Y, TAKSLER G B. Equity volatility and corporate bond yields[J]. Journal of Finance, 2003, 58(6): 2321-2349. [14] HUANG J Z, HUANG M. How much of the corporate-treasury yield spread is due to credit risk?[J]. Review of Asset Pricing Studies, 2012, 2(2): 153-202. [15] LONGSTAFF F A, MITHAL S, NEIS E. Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market[J]. Journal of Finance, 2004, 60(5): 2213-2253. [16] CHEN L, LESMOND D A, WEI J. Corporate yield spreads and bond liquidity[J]. Journal of Finance, 2007, 62(1): 119-149. [17] CHORDIA T, SARKAR A, SUBRAHMANYAM A. An empirical analysis of stock and bond market liquidity[J]. Review of Financial Studies, 2003, 18(18): 85-129. [18] ODDERS-WHITE E R, READY M J. Credit ratings and stock liquidity[J]. Review of Financial Studies, 2005, 19(1): 119-157. [19] ACHARYA V V, SCHAEFER S, ZHANG Y. Liquidity risk and correlation risk: A clinical study of the General Motors and Ford downgrade of May 2005[J]. Quarterly Journal of Finance, 2015, 5: 1550006. [20] DAS S R, HANOUNA P. Hedging credit: Equity liquidity matters[J]. Journal of Financial Intermediation, 2009, 18(1): 112-123. [21] 何平, 金梦. 信用评级在中国债券市场的影响力[J]. 金融研究, 2010(4):15-28. [22] 赵静, 方兆本. 中国公司债信用利差决定因素——基于结构化理论的实证研究[J]. 经济管理, 2011, 33(11): 138-148. ZHAO Jing, FANG Zhaoben. The determinants of credit spread in Chinese corporate debt market: An empirical research based on structural models[J]. Economic Management Journal, 2011, 33(11): 138-148. [23] 王安兴, 解文增, 余文龙. 中国公司债利差的构成及影响因素实证分析[J]. 管理科学学报, 2012, 15(5):32-41. WANG Anxing, XIE Wenzeng, YU Wenlong. Empirical research on China’s corporate bond yield spread[J]. Journal of Management Sciences in China, 2012, 15(5): 32-41. [24] 方红星, 施继坤, 张广宝. 产权性质、信息质量与公司债定价——来自中国资本市场的经验证据[J]. 金融研究, 2013(4):170-182. [25] 史永东, 田渊博. 契约条款影响债券价格吗?——基于中国公司债市场的经验研究[J]. 金融研究, 2016(8): 143-158. SHI Yongdong, TIAN Yuanbo. Do bond covenants affect bond price? An empirical study based on corporate bond market of China[J]. Journal of Financial Research, 2016(8): 143-158. [26] 任兆璋, 李鹏. 流动性风险对可违约债券信用利差期限结构的影响[J]. 系统管理学报, 2006, 15(3): 251-255. REN Zhaozhang, LI Peng. Impact of liquidity risk on the term structure of credit spreads[J]. Journal of Systems & Management, 2006, 15(3): 251-255. [27] 何志刚,邵莹. 流动性风险对我国公司债券信用利差的影响——基于次贷危机背景的研究[J]. 会计与经济研究, 2012(1): 78-85. HE Zhigang, SHAO Ying. Influence of liquidity risk on Chinese corporate bonds yield spreads:A study based on the background of the subprime crisis[J]. Accounting and Economics Research, 2012(1): 78-85. [28] 王苏生, 黄杰敏, 黄杰勇,等. 基于流动性风险的公司债券价差决定因素实证分析[J]. 管理工程学报, 2015, 29(3): 239-248. WANG Susheng, HUANG Jiemin, HUANG Jieyong, et al. Empirical analysis of liquidity risk premium of corporate bond spread[J]. Journal of Industrial Engineering and Engineering Management, 2015, 29(3): 239-248. [29] 纪志宏, 曹媛媛. 信用风险溢价还是市场流动性溢价:基于中国信用债定价的实证研究[J]. 金融研究, 2017(2):1-10. [30] 高强, 邹恒甫. 企业债与公司债二级市场定价比较研究[J]. 金融研究, 2015(1): 84-100. [31] ALLEN F, GALE D. Understanding Financial Crises[M]. Oxford: Oxford University Press, 2007: 343-345. [32] 王茵田, 文志瑛. 股票市场和债券市场的流动性溢出效应研究[J]. 金融研究, 2010(3):155-166. [33] 史永东, 丁伟, 袁绍锋. 市场互联、风险溢出与金融稳定——基于股票市场与债券市场溢出效应分析的视角[J]. 金融研究, 2013(3):170-180. [34] LELAND H E. Corporate debt value, bond covenants, and optimal capital structure[J]. Journal of Finance, 1994, 49(4): 1213-1252. [35] AMIHUD Y. Illiquidity and stock returns: Cross-section and time-series effects[J]. Journal of Financial Markets, 2002, 5(1): 31-56. [36] ROLL R. A simple implicit measure of the effective bid-ask spread in an efficient market[J]. Journal of Finance, 1984, 39(4): 1127-1139. [37] PASTOR L, STAMBAUGH R F. Liquidity risk and expected stock returns[J]. Journal of Political Economy, 2003, 111: 642-685. [38] CREMERS K J M, MAENHOUT P. Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model[J]. Review of Financial Studies, 2008, 21(5): 2209-2242. [39] CARHART M M. On Persistence in mutual fund performance[J]. Journal of Finance, 1997, 52(1):57-82. [40] FAMA E F, FRENCH K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics, 1993, 33(1): 3-56. [41] 吴良, 燕鑫, 杨宇程. 流动性危机与中国股灾之谜[J]. 统计研究, 2017, 34(12): 87-98.
() () |