Abstract: Using daily data of Chinese corporate bonds from June 2009 to August 2014,we examined the effect of non-default risk factors on yield spread. The findings suggested that the default risk could explain no more than 56% of the variation in yield spread changes in Chinese corporate bonds,and the spread included premium of non-systematic un-diversifiable credit risk. Higher premium lied in low-grade bonds. Controlling for credit risks,we found that liquidity risk and interest rate risk were priced in bond yield spread,and high-grade bonds gained more non-credit-risk compensation. The model could explain more than 70 percent of the variation in yield spread changes.