Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-1998
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 of creation:||Jan 2000|
|Contact details of provider:|| Postal: 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|
Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/
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- Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-922, September.
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