Bond yield effects of corporate bond default: Evidence from bond default events of 2014–2022

Hui Wang, Jiarui Li and Yixuan Luo

Finance Research Letters, 2024, vol. 60, issue C

Abstract: This paper conducts an event study to examine the impact of bond default events on daily bond yields following rigid payment defaults. Our results demonstrate a significant increase in abnormal returns of corporate bonds subsequent to intra-industry bond defaults. Notably, the extent of this effect varies based on credit quality and bond type. Further analyses reveal that companies of lower credit quality and unlisted are notably more affected by default events. Specifically, we find some evidence that defaults in publicly listed firms, state-owned enterprises, or medium-term notes lead to more pronounced effects on bond yields.

Keywords: Bond default events; Panel event study analysis; Bond yields (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013260

DOI: 10.1016/j.frl.2023.104954

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