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Does Credit Risk Puzzle Exist in China's A-share Market?

The foreign literature on stock markets in developed countries holds that stock yield in a company with low risk is higher than the one in a company with high risk,i.e.the credit risk puzzle.This paper empirically studies the relationship between risks and returns in China's A-share market and finds that this puzzle does not exist in current China's stock market.This result is very robust to financial crises,monetary policies,model construction and statistical methods.It is very important for governments to pay attention to the existence of the phenomenon,especially in less mature financial markets like China,in order to formulate appropriate policies to control risk.