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Analysis of Length of Time Spent in Chapter 11 Bankruptcy

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Author Info
Jesus Orbe () (Departamento de Econometria y Estadistica (Economia Aplicada III), Universidad del Pais Vasco, Spain)
Eva Ferreira () (Departamento de Econometria y Estadistica (Economia Aplicada III), Universidad del Pais Vasco, Spain)
Vicente Nunez-Anton () (Departamento de Econometria y Estadistica (Economia Aplicada III), Universidad del Pais Vasco, Spain)

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Abstract

This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis we propose a flexible new duration model, the censored partial regression model. This model allows us to consider the effect of some variable on the duration using a nonparametric functional form. We find that the choice of prepackaged Chapter 11, the length of time negotiating before filling for Chapter 11, the profitability, the highly leveraged transactions, the participation on different disputes, the role of vulture funds and some institutional changes turn out to be relevant to analyze this duration.

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File URL: http://www.et.bs.ehu.es/biltoki/EPS/dt200101.eps
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Publisher Info
Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 200101.

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Date of creation: 09 Jan 2001
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Handle: RePEc:ehu:biltok:200101

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Postal: Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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Related research
Keywords: Lifetime Data Models; Censorship; Kaplan-Meier; Bootstrap; Nonparametric Estimation.;

Find related papers by JEL classification:
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Brian L. Betker, 1995. "An Empirical Examination of Prepackaged Bankruptcy," Financial Management, Financial Management Association, vol. 24(1), Spring.
  2. Bandopadhyaya, Arindam, 1994. "An Estimation of the Hazard Rate of Firms under Chapter 11 Protection," The Review of Economics and Statistics, MIT Press, vol. 76(2), pages 346-50, May. [Downloadable!] (restricted)
  3. Franks, Julian R. & Torous, Walter N., 1994. "A comparison of financial recontracting in distressed exchanges and chapter 11 reorganizations," Journal of Financial Economics, Elsevier, vol. 35(3), pages 349-370, June. [Downloadable!] (restricted)
  4. Stute, W., 1993. "Consistent Estimation Under Random Censorship When Covariables Are Present," Journal of Multivariate Analysis, Elsevier, vol. 45(1), pages 89-103, April. [Downloadable!] (restricted)
  5. Michael C. Jensen, 1991. "Corporate Control And The Politics Of Finance," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(2), pages 13-34. [Downloadable!] (restricted)
  6. Li, Kai, 1999. "Bayesian analysis of duration models: an application to Chapter 11 bankruptcy," Economics Letters, Elsevier, vol. 63(3), pages 305-312, June. [Downloadable!] (restricted)
  7. Hotchkiss, Edith S. & Mooradian, Robert M., 1997. "Vulture investors and the market for control of distressed firms," Journal of Financial Economics, Elsevier, vol. 43(3), pages 401-432, March. [Downloadable!] (restricted)
  8. Weiss, Lawrence A., 1990. "Bankruptcy resolution: Direct costs and violation of priority of claims," Journal of Financial Economics, Elsevier, vol. 27(2), pages 285-314, October. [Downloadable!] (restricted)
  9. Jean Helwege, 1999. "How Long Do Junk Bonds Spend in Default?," Journal of Finance, American Finance Association, vol. 54(1), pages 341-357, 02. [Downloadable!] (restricted)
  10. White, Michelle J, 1989. "The Corporate Bankruptcy Decision," Journal of Economic Perspectives, American Economic Association, vol. 3(2), pages 129-51, Spring. [Downloadable!] (restricted)
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