A Research On Asymmetric Information Risk And Pricing Of Corporate Bonds And Corresponding Stocks

With the proposal of ‘Mystery of Credit Spread',risk factors of yield rate have been studied widely.The research on measures of asymmetric information risk and the relationship between that risk and asset pricing have attached more and more importance.Although corporate bonds and corresponding stocks in China have the same issuer,their asymmetric information risk levels and the influence factors of asset pricing are not the same,while they have kind of co-movement.As a result,on risk management,asset pricing and market supervision,the research on asymmetric information risk of corporate bonds and corresponding stocks and their asset pricing has both theoretical and practical value.This thesis introduced a new kind of information asymmetry measurement model called AIM model and compared it with PIN model.Based on AIM model,this thesis conducted descriptive statistics,comparative analysis,group relation analysis and difference examination of AIM sequences and tested the robustness by grouping on credit rating.Then,this thesis built a model of Var to analyze the relation of asymmetric information and yield rate.Finally,based on q-factors model,this thesis studied on the effect of asymmetric information on asset pricing.This thesis got conclusions as follows.Firstly,the asymmetric information risk of corporate bonds is larger than the stocks overall and the gap is significant.With the continuous development and perfection of corporate bond market,its asymmetric information risk trend to have the similar tendency and linkage with the stock market,but this regularity is time-varying.Secondly,the information asymmetry risk of stocks will significantly affect the return of corporate bonds,but the asymmetric information of corporate bonds will not significantly affect the return of stocks.Finally,the expected stock returns are affected by excess market return,size factor,investment factor,profitability factor and asymmetric information factor.The expected bond returns are affected by excess market return,size factor,and profitability factor.