The Study Of Information Asymmetry Risk Premium In China's Corporate Bond Market

In recent years, Chinese corporate bond market has been obtained a sound development. The market system is getting more and more formalized, the circulation of it is increasing by years, and the enthusiasm of investors has been improved. As one of direct financing instruments, the corporate bond is playing an increasingly important role in the financial market. Therefore, its development has attracted much more attention from the researchers. It is well known that the security market cannot develop well without a good information disclosure system, besides, the Fair, Just and Open market requires the needed transparency. Utilizing the study of information risk premium in the credit spread as a point of entry, the paper demonstrated that the information asymmetry prevent the corporate market from playing its own market function. The paper aimed to arouse the further emphasis of the authorities to the corporate bond market.The credit spread can show the true investment value, and is the essential reference to judge the market and make the investment decision. Owe to the concern to the liquidity, many authors intend to explain the credit spread from the point view of liquidity premium. Nevertheless, a host of papers has proved that to some extent, the liquidity premium can but less determine the credit spread. In virtue of market macrostructure theory, the paper studied whether the degree of information asymmetry of individual bonds contain a significant power in explaining corporate credit spread. To solve the above question, the paper processed the following steps. First of all, based on reading extensive literatures relating credit risk pricing model and the credit spread puzzle, we abstracted the key view of them as our theoretical ground. Secondly, we detailedly analyzed the risk factor, particularly, summed up the real manifestation of information asymmetry risk in the Chinese corporate bond market. Thirdly, by use of a simplified partly reflect information model, we demonstrated the theoretic mechanism of information asymmetry and the corporate credit spread. Finally, based on the daily trade data, we established panel data model to analyze the explaining power of the information asymmetry risk.The results showed that the credit spread observed in current embed a significant information risk premium, which means that in addition to the credit risk, the credit spread incorporate other risk factors, like liquidity risk and information asymmetry risk. In the last part, we put forward some practical suggestions to improve the quality and sustain the development of the corporate bond market.