The determinants of recovery rates in the US corporate bond market

被引：88

作者：

Jankowitsch, Rainer ^{[1
]}

Nagler, Florian ^{[2
]}

Subrahmanyam, Marti G. ^{[3
]}

机构：

[1] WU Vienna Univ Econ & Business, A-1020 Vienna, Austria

[2] VGSF, A-1020 Vienna, Austria

[3] NYU, Stern Sch Business, New York, NY 10012 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2014年 / 114卷 / 01期

关键词：

Credit risk; Recovery rate; Corporate bonds; Liquidity; OPTIMAL CAPITAL STRUCTURE; STRATEGIC DEBT-SERVICE; TERM STRUCTURE; BANKRUPTCY; RISK; COVENANTS; LIQUIDITY; MODEL; ILLIQUIDITY; LIQUIDATION;

D O I：

10.1016/j.jfineco.2014.06.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices and volumes. A study of the trading microstructure around various types of default events is provided. We document temporary price pressure with high trading volumes on the default day and the following 30 days, and low trading activity thereafter. Based on this analysis, we determine market-based recovery rates and quantify various liquidity measures. We study the relation between the recovery rates and these measures, considering additionally a comprehensive set of bond characteristics, firm fundamentals, and macroeconomic variables. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：155 / 177

页数：23

共 46 条

[1] When does strategic debt-service matter? [J].

Acharya, Viral ;

Huang, Jing-zhi ;

Subrahmanyam, Marti ;

Sundaram, Rangarajan K. .

ECONOMIC THEORY, 2006, 29 (02) :363-378

[2] Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries [J].

Acharya, Viral V. ;

Bharath, Sreedhar T. ;

Srinivasan, Arland .

JOURNAL OF FINANCIAL ECONOMICS, 2007, 85 (03) :787-821

[3]

Altman E.I., 1996, FINANC ANAL J, V52, P57

[4]

ALTMAN E. I., 2002, 113 BIS

[5] Ultimate recovery mixtures [J].

Altman, Edward I. ;

Kalotay, Egon A. .

JOURNAL OF BANKING & FINANCE, 2014, 40 :116-129

[6] Bank Debt versus Bond Debt: Evidence from Secondary Market Prices [J].

Altman, Edward I. ;

Gande, Amar ;

Saunders, Anthony .

JOURNAL OF MONEY CREDIT AND BANKING, 2010, 42 (04) :755-767

[7]

Altman EI, 2009, J CREDIT RISK, V5, P43

[8] FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND PREDICTION OF CORPORATE BANKRUPTCY [J].

ALTMAN, EI .

JOURNAL OF FINANCE, 1968, 23 (04) :589-609

[9] The link between default and recovery rates: Theory, empirical evidence, and implications [J].

Altman, EI ;

Brady, B ;

Resti, A ;

Sironi, A .

JOURNAL OF BUSINESS, 2005, 78 (06) :2203-2227

[10] Illiquidity and stock returns: cross-section and time-series effects [J].

Amihud, Y .

JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56

← 1 2 3 4 5 →