Recovery rates in the Israeli corporate bond market 2008-2015

Ana Sasi-Brodesky ()
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Ana Sasi-Brodesky: Bank of Israel

No 2017.17, Bank of Israel Working Papers from Bank of Israel

Abstract: This paper examines default events in Israel's corporate bond market between 2008 and 2015. Using a sample of 106 distress events, the variation in expected recovery rates over time is analyzed. The value of distressed firms at the time of default was found to be mostly influenced by the financial conditions of peers in the industry and in the market. In particular, low liquidity and high average leverage ratios of other market participants had a negative effect on the anticipated recovery rate. Firm-specific characteristics were found to have negligible effect on expected recovery rates. Average recovery and default rates are shown to compare well with the experience in other countries.

Keywords: recovery rates; default; bond market; Israel; market price (search for similar items in EconPapers)
JEL-codes: G33 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2017-07
New Economics Papers: this item is included in nep-ara and nep-rmg
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https://boiwebrepec.azurefd.net/RePEc/boi/wpaper/WP_2017.17.pdf First version, 2017 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:boi:wpaper:2017.17

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