Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-1998

Edward Altman and Luis Beltran

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: This report presents results and discussion of the investment performance of those bonds and bank loans that have defaulted on their scheduled payments to creditors and continue trading in the public market while the issuing firm attempts a financial reorganization. Monthly total return measures are compiled based on the Altman-NYU Salomon Center Indexes of Defaulted Bonds and Defaulted banks Loans, as well as an index that combines bonds and loans. These returns are compared to the total returns of common stocks and high yield corporate bonds. Returns are based on our market-weighted indexes and presented for the past year (1998) as well as for the last twelve years (for bonds) and three years for bank loans. We also continue to estimate the size of the distressed and defaulted debt markets in the United States.

Date: 2000-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99004.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99004.pdf [301 Moved Permanently]--> https://www.stern.nyu.edu/fin/workpapers/papers99/wpa99004.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: https://EconPapers.repec.org/RePEc:fth:nystfi:99-004

Access Statistics for this paper

More papers in New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business- U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().