{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,23]],"date-time":"2026-01-23T15:30:04Z","timestamp":1769182204021,"version":"3.49.0"},"reference-count":63,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2022,5,24]],"date-time":"2022-05-24T00:00:00Z","timestamp":1653350400000},"content-version":"vor","delay-in-days":143,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"},{"start":{"date-parts":[[2022,1,1]],"date-time":"2022-01-01T00:00:00Z","timestamp":1640995200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/doi.wiley.com\/10.1002\/tdm_license_1.1"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71471129"],"award-info":[{"award-number":["71471129"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71501140"],"award-info":[{"award-number":["71501140"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Complexity"],"published-print":{"date-parts":[[2022,1]]},"abstract":"<jats:p>This study derives a liquidity and credit risk\u2010adjusted 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 bond credit risk and market credit risk. The main channel through which the interaction between liquidity risk and credit risk affects corporate bond return is the interaction between individual bond liquidity risk and market credit risk. The model reveals the impact mechanism of individual risk and market risk on bond return and explains why the interaction between liquidity risk and credit risk affects bond pricing.<\/jats:p>","DOI":"10.1155\/2022\/6331366","type":"journal-article","created":{"date-parts":[[2022,5,24]],"date-time":"2022-05-24T22:05:09Z","timestamp":1653429909000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk"],"prefix":"10.1155","volume":"2022","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9244-8918","authenticated-orcid":false,"given":"Zijian","family":"Wu","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0494-0361","authenticated-orcid":false,"given":"Baochen","family":"Yang","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2504-4785","authenticated-orcid":false,"given":"Yunpeng","family":"Su","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2022,5,24]]},"reference":[{"key":"e_1_2_10_1_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00145"},{"key":"e_1_2_10_2_2","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00498"},{"key":"e_1_2_10_3_2","first-page":"131","article-title":"An empirical study on the SDF and CAPM about risk premium","volume":"23","author":"Lou F.","year":"2006","journal-title":"The Journal of Quantitative and Technical Economics"},{"key":"e_1_2_10_4_2","first-page":"125","article-title":"Estimation of dynamic empirical projection by stochastic discounted factors: an expansion of rosenberg-engle","author":"Zhou H. L.","year":"2014","journal-title":"Finance and Trade Research"},{"key":"e_1_2_10_5_2","doi-asserted-by":"publisher","DOI":"10.3386\/w8533"},{"key":"e_1_2_10_6_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00324"},{"key":"e_1_2_10_7_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.02.001"},{"key":"e_1_2_10_8_2","doi-asserted-by":"publisher","DOI":"10.1093\/rapstu\/ras011"},{"key":"e_1_2_10_9_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi009"},{"key":"e_1_2_10_10_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2005.00797.x"},{"key":"e_1_2_10_11_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01203.x"},{"key":"e_1_2_10_12_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.01056.x"},{"key":"e_1_2_10_13_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/12.4.687"},{"key":"e_1_2_10_14_2","first-page":"32","article-title":"Empirical research on China\u2019s corporate bond yield spread","volume":"15","author":"Wang A. X.","year":"2012","journal-title":"Journal of Management Sciences in China"},{"key":"e_1_2_10_15_2","first-page":"84","article-title":"A comparative study on the secondary market pricing of China' enterprise bonds and corporate bonds","volume":"1","author":"Gao Q.","year":"2015","journal-title":"Journal of Financial Research"},{"key":"e_1_2_10_16_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx107"},{"key":"e_1_2_10_17_2","doi-asserted-by":"publisher","DOI":"10.1155\/2021\/6681035"},{"key":"e_1_2_10_18_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2004.06.007"},{"key":"e_1_2_10_19_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2011.01655.x"},{"key":"e_1_2_10_20_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.09.013"},{"key":"e_1_2_10_21_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa080"},{"key":"e_1_2_10_22_2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405x(86)90065-6"},{"key":"e_1_2_10_23_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2011.10.009"},{"key":"e_1_2_10_24_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhx005"},{"key":"e_1_2_10_25_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2010.10.004"},{"key":"e_1_2_10_26_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.08.002"},{"key":"e_1_2_10_27_2","first-page":"139","article-title":"Liquidity risk, Liquidity demand of investors and asset pricing","volume":"12","author":"Zou X. P.","year":"2009","journal-title":"Journal of Management Science in China"},{"key":"e_1_2_10_28_2","doi-asserted-by":"publisher","DOI":"10.25115\/eea.v37i3.2779"},{"key":"e_1_2_10_29_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2019.101079"},{"key":"e_1_2_10_30_2","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12991"},{"key":"e_1_2_10_31_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2005.10.001"},{"key":"e_1_2_10_32_2","first-page":"63","article-title":"Market liquidity and its incorporation into risk management","volume":"8","author":"Bervas A.","year":"2006","journal-title":"Financial Stability Review"},{"key":"e_1_2_10_33_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.04.007"},{"key":"e_1_2_10_34_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.08.018"},{"key":"e_1_2_10_35_2","first-page":"1","article-title":"Credit risk premium or market liquidity premium?: an empirical study on the pricing of credit bonds in China","volume":"440","author":"Ji Z. H.","year":"2017","journal-title":"Financial Research"},{"key":"e_1_2_10_36_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn044"},{"key":"e_1_2_10_37_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00402"},{"key":"e_1_2_10_38_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01276.x"},{"key":"e_1_2_10_39_2","doi-asserted-by":"publisher","DOI":"10.1155\/2014\/492134"},{"key":"e_1_2_10_40_2","doi-asserted-by":"publisher","DOI":"10.25115\/eea.v38i3.3066"},{"key":"e_1_2_10_41_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2021.102015"},{"key":"e_1_2_10_42_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jcorpfin.2012.06.011"},{"key":"e_1_2_10_43_2","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110118-123129"},{"key":"e_1_2_10_44_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2012.01721.x"},{"key":"e_1_2_10_45_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2020.101189"},{"key":"e_1_2_10_46_2","doi-asserted-by":"publisher","DOI":"10.1142\/s2010139214500049"},{"key":"e_1_2_10_47_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfi.2011.07.002"},{"key":"e_1_2_10_48_2","first-page":"87","article-title":"Bond\u2019s liquidity and default risk correlation premium and empirical test","volume":"5","author":"Ai C. R.","year":"2015","journal-title":"Journal of Management Sciences in China"},{"key":"e_1_2_10_49_2","doi-asserted-by":"crossref","unstructured":"Sperna WeilandR. C. LaevenR. J. andDe JongF. Feedback between credit and liquidity risk in the US corporate bond market Proceedings of the 30th Australasian Finance and Banking Conference December 2017 Sydney Australia.","DOI":"10.2139\/ssrn.2982319"},{"key":"e_1_2_10_50_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2011.11.007"},{"key":"e_1_2_10_51_2","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00247"},{"key":"e_1_2_10_52_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2015.03.003"},{"key":"e_1_2_10_53_2","doi-asserted-by":"publisher","DOI":"10.1016\/s1386-4181(01)00024-6"},{"key":"e_1_2_10_54_2","doi-asserted-by":"publisher","DOI":"10.1142\/s2010139216500129"},{"key":"e_1_2_10_55_2","doi-asserted-by":"publisher","DOI":"10.2307\/1913210"},{"key":"e_1_2_10_56_2","volume-title":"Is Liquidity Risk Priced in the Corporate Bond market","author":"Downing C.","year":"2005"},{"key":"e_1_2_10_57_2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405x(93)90023-5"},{"key":"e_1_2_10_58_2","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhi010"},{"key":"e_1_2_10_59_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.ribaf.2015.09.001"},{"key":"e_1_2_10_60_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2019.02.006"},{"key":"e_1_2_10_61_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.pacfin.2021.101591"},{"key":"e_1_2_10_62_2","doi-asserted-by":"publisher","DOI":"10.1155\/2021\/5595099"},{"key":"e_1_2_10_63_2","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11039"}],"container-title":["Complexity"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1155\/2022\/6331366","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1155\/2022\/6331366","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1155\/2022\/6331366","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,1,22]],"date-time":"2026-01-22T21:00:56Z","timestamp":1769115656000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1155\/2022\/6331366"}},"subtitle":[],"editor":[{"given":"Faheem","family":"Aslam","sequence":"additional","affiliation":[]}],"short-title":[],"issued":{"date-parts":[[2022,1]]},"references-count":63,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2022,1]]}},"alternative-id":["10.1155\/2022\/6331366"],"URL":"https:\/\/doi.org\/10.1155\/2022\/6331366","archive":["Portico"],"relation":{},"ISSN":["1076-2787","1099-0526"],"issn-type":[{"value":"1076-2787","type":"print"},{"value":"1099-0526","type":"electronic"}],"subject":[],"published":{"date-parts":[[2022,1]]},"assertion":[{"value":"2021-12-11","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-04-13","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2022-05-24","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"6331366"}}