Returns to Defaulted Corporate Bonds
AbstractI 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.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Business Administration with number 2009:7.
Length: 33 pages
Date of creation: 23 Mar 2009
Date of revision:
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Bond pricing; Recovery rate;
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