Returns to Defaulted Corporate Bonds

Håkan Thorsell ()
Additional contact information
Håkan Thorsell: Dept. of Business Administration, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden, http://www.hhs.se/Faculty/sv_showperson.htm?personid=1076

No 2009:7, 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)
New Economics Papers: this item is included in nep-rmg
Date: 2009-03-23
View list of references

Downloads: (external link)
http://swoba.hhs.se/hastba/papers/hastba2009_007.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hhb:hastba:2009_007

Access Statistics for this paper

More papers in Working Paper Series in Business Administration from Stockholm School of Economics
Address: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, SE 113 83 Stockholm, Sweden
Contact information at EDIRC.
Series data maintained by Helena Lundin ().