Returns to Defaulted Corporate Bonds

Håkan Thorsell ()
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Håkan Thorsell: Dept. of Business Administration, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden

No 2009:7, SSE/EFI Working Paper Series in Business Administration from Stockholm School of Economics

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 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2009-03-23
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:hhb:hastba:2009_007

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