The short-term financing bonds require no collateral, or guarantee from other companies or banks, and many companies choose to issue them for financing. They are representative of marketable bonds or notes with credit risk in China. Thus, their market behavior has important meaning for the development of bonds with credit risk, especially of the corporate bonds. This paper makes a research into the factors that have influence on yields of the short-term financing bonds. The result shows that, no matter in primary or secondary market, issuers’ credit rating which represents credit risk, ask-bid spread which represents liquidity risk, along with the industry and macro-systematic factors, all have significant effect on the bonds’ yields; there exists liquidity expectation in primary market, which means that those which have better liquidity characteristic in the secondary market have lower issuing yield in the primary market.