SSE/EFI Working Paper Series in Business Administration
Returns to Defaulted Corporate Bonds
Abstract: I test for short term excess return in a sample of 279
defaulted US corporate bonds using multiple regression analysis. There are
robust excess returns after controlling for market and liquidity risk. The
expected recovery rate during 2001-2006 is estimated to be, on average,
four percentage points lower the first month after default than the present
value of the recovery rate after nine months.
Keywords: Bond pricing; Recovery rate; (follow links to similar papers)
33 pages, March 23, 2009
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