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Returns to Defaulted Corporate Bonds

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  • Thorsell, Håkan

    (Dept. of Business Administration, Stockholm School of Economics)

Abstract

I 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.

Suggested Citation

  • Thorsell, Håkan, 2009. "Returns to Defaulted Corporate Bonds," SSE/EFI Working Paper Series in Business Administration 2009:7, Stockholm School of Economics.
    • Handle: RePEc:hhb:hastba:2009_007
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    References listed on IDEAS

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    Keywords

    Bond pricing; Recovery rate;

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