Abstract: This paper investigates whether the stock price crash risk is priced in bond spread under the same issuer. We find that the stock price crash risk is positively associated with the bond spread, indicating that investors consider stock price crashes as an important risk factor when trading bonds. In the Chinese context, we further show that the positive impact of stock price crash risk on bond spread is weakened in state-owned enterprise bonds and high-rated bonds. Further tests also show that the positive impact is more significant among the companies with higher risk-taking level, poorer quality of internal control and higher uncertainty of accounting information. This paper examines the economic consequences of the stock price crash risk from the micro perspective, expands the researches on the cross-market factors of bond spread, helps to understand the linkage between China's stock and bond market, and has certain significance for reducing the default risk of corporate bonds and maintaining the stable development of capital market.

Key words: stock price crash risk, bond pricing, information asymmetry, spillover effect