This study investigates how the interaction of political accountability and local officials’ career incentives shapes the market for Municipal Corporate Bonds (MCBs) in China, taking the 2017 local government debt personal responsibility rule as a quasinatural experiment. We develop a stylized incomplete-information bargaining model to analyze how the rule reshapes the bargaining equilibrium by rendering officials’ observable characteristics credible signals of bailout incentives. Using a dataset of prefecture-level MCBs from 2008 to 2020, we empirically test the model’s predictions and focus on separating officials’ incentive effects from their inherent ability. Our core findings show that post-announcement of the rule, each additional year of a local party secretary’s remaining time to retirement, a proxy for bailout incentives, reduces MCB spreads by approximately 2.5 basis points and increases issuance volume by about 2.0%. These effects are significantly amplified in fiscally stressed cities. Notably, under the 2017 rule, cities led by party secretaries with stronger bailout incentives can expand MCB issuance, which is contrary to the rule’s original intent to rein in local borrowing.

A central premise of mandatory disclosure regulation is that greater transparency reduces information asymmetry and lowers borrowing costs. We challenge this premise by examining industry-level operational disclosure - a regulatory form that reveals horizontally comparable information across peer firms rather than refining individual firm fundamentals. Exploiting the staggered introduction of mandatory industry-specific disclosure guidelines by Chinese stock exchanges between 2013 and 2019, we find that enhanced industry disclosure significantly widens bond credit spreads by approximately 54 basis points - the opposite of what standard disclosure theory predicts. This counterintuitive effect is more pronounced in non-homogeneous industries, among smaller firms, and for bonds restricted to institutional investors. Mechanism tests confirm two opposing channels: disclosure reduces information asymmetry while simultaneously intensifying product market competition by exposing strategically sensitive operational metrics. Our evidence challenges the one-size-fits-all approach to disclosure regulation and highlights that the competitive implications of disclosed information - not merely its quantity - shape credit risk pricing.

Whether risk aversion is time varying and countercyclical is central to modern asset pricing, yet evidence remains limited and is based mainly on experimental, survey, or aggregate stock market data. We provide individual-level evidence from 10 million Chinese auto insurance contracts from 2011 to 2017, estimating policyholders’ risk aversion from deductible choices. We find that risk aversion is time varying and countercyclical. The estimates are negatively related to lottery and stock trading, positively related to insurance sales and bond trading, and vary with psychological factors, including seasonal mood, “zodiac year,” and calendar events.

Using proprietary data from China’s interbank bond-pledged repo market, we show that the interest-rate risk and credit risk of the pledged bond are key determinants of repo pricing. From a bond-option perspective, we develop arbitrage-free models that anchor the repo yield curve to the pledged-bond yield curve. The fair repo haircut is interpreted as the per-unit price of a call option on the pledged bond. We extend this framework to incorporate bail-in or bail-out potential, which enhances the model’s empirical performance and provides a novel explanation for systematic repo cheapness and existence of negative haircuts.

As China's bond market expands rapidly, the complexity of financial guarantee networks and their implications for credit risk have become critical issues in both academic research and financial practice. Utilizing micro-level data from China's credit bond market spanning 2014 to 2024, this study constructs a multi-layer network incorporating bonds, guarantors, and issuing firms to empirically examine the impact of guarantor network centrality on bond credit spreads. The results reveal a significant U-shaped relationship: moderate centrality reduces spreads by bolstering market confidence, whereas excessive centrality increases them due to heightened systemic risk. Mechanism analyses identify systemic risk and information asymmetry as key mediating channels through which centrality affects credit risk premiums. Heterogeneity tests indicate that this U-shaped pattern is more pronounced among state-owned guarantors, real estate firms, and high-risk clusters within the network. Furthermore, both cross-layer connectivity within the multi-layer structure and regional financial development levels significantly moderate the centrality-spread relationship. These findings offer a structural perspective on credit risk pricing in emerging markets and provide valuable policy insights for credit rating system design, guarantee regulation, and systemic risk prevention. International investors could also leverage these findings to better assess systemic risk in interconnected financial markets across emerging economies.

How do global and domestic investors process institutional signals in emerging markets? We use China’s refined-oil pricing announcements as institutional communications to construct high-frequencymarketization surprises as deviations between actual prices and formula-implied expectations (2013–2025). Three heterogeneous patterns emerge. First, a 1% deviation toward weaker marketization triggers $30m equity and $10m bond outflows internationally while domestic futures appreciate. Second, Kalman filtering extracts latent institutional information differing across markets, with near-zero correlation. Third, international responses amplify quarterly while domestic dissipate immediately. A+H dual-listed firm analysis reveals implicit guarantees and market segmentation jointly drive this divergence.

This paper investigates how the Global Supply Chain Pressure Index (GSCPI) affects long-term stock–bond correlations in China, employing mixed-frequency data from April 2005 to June 2025 in a DCC-MIDAS-X framework. Results show that higher GSCPI significantly reduces long-term stock–bond correlations, thereby enhancing the hedging property of bonds. This effect is both state-dependent and asymmetric, remaining significant in low-volatility regimes and following negative shocks, while becoming largely muted during high-volatility periods or after positive shocks. However, the impact of GSCPI weakens substantially after China’s 2014 financial liberalization, as global financial factors increasingly drive cross-asset dynamics. Moreover, GSCPI provides incremental information that enhances portfolio diversification and hedging performance.

This paper investigates whether firms’ overtime intensity affects the cost of debt financing. Using satellite-based night-time light data for Chinese listed firms between 2013 and 2022, we construct an objective measure of weekday overtime that captures firms’ operational effort and capacity utilization. We find that higher overtime intensity is associated with significantly lower bond offering yield spreads. The effect is stronger among smaller, less-followed, less-profitable, and non-AAA-rated issuers, consistent with an information-asymmetry channel where investors rely more on observable operational behavior when hard information is weaker. The findings suggest that overtime functions as a priced form of soft information in debt markets, offering new evidence that real-time operational signals influence credit risk assessment.

This study examines the role of negative peer events, specifically initial bond defaults, in driving leverage manipulation of non-defaulting firms within the same region. Controlling for firm-specific time-varying characteristics, we find that initial bond defaults within a province are associated with an increase in leverage manipulation among non-defaulting firms. Two potential mechanisms underlying this relationship include increased financial constraints for these firms and elevated investor risk perception of the local bond market. The positive impact of bond defaults on leverage manipulation is more pronounced for financially constrained firms, firms with severe information asymmetry, and those affected by high-rated bond and principal defaults. We further show that companies that manipulate their debt ratios experience higher default risk. Our findings have important implications for transparent disclosure and highlight the negative effect of regional bond defaults on corporate financial reporting practices.

This paper provides a comprehensive analysis of excess returns specific to corporate bonds. We construct a measure of excess returns that uses synthetic Treasury securities with identical cash flows as benchmarks, thereby fully removing interest rate effects and isolating the component of returns specific to corporate bonds. Using a monthly sample from 2002 to 2024, we find that, in addition to being lower on average, the corporate-bond-specific excess return differs significantly in the cross section from both the standard excess return based on T-bills and the duration-adjusted return. We further examine the effects of a broad set of bond-level characteristics and systematic risk factors on bond excess returns. Together, these findings provide a foundational benchmark for future research on corporate bond returns.