中文摘要：

国外文献对发达国家股票市场的研究发现，低风险公司股票的收益率高于高风险公司股票，即所谓的“信用风险悖论”。文章对我国A股市场风险与收益的关系进行实证研究后发现，该悖论在当前中国股票市场不存在，且此结论具有相当的稳健性，不随金融危机发生和货币政策变化而改变，亦不依赖模型设置和统计方法。关注这种现象，尤其是在中国这样不太成熟的金融市场，对政府制定相应的政策来控制风险十分重要。

英文摘要：

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.