Jankowitsch, Rainer, Nagler, Florian, Subrahmanyam, Marti G. 2014. The Determinants of Recovery Rates in the US Corporate Bond Market. Journal of Financial Economics, 114 (1), 155-177.
BibTeX
Abstract
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.
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Status of publication | Published |
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Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of Financial Economics |
Citation Index | SSCI |
WU Journalrating 2009 | A+ |
Starjournal | Y |
Language | English |
Title | The Determinants of Recovery Rates in the US Corporate Bond Market |
Volume | 114 |
Number | 1 |
Year | 2014 |
Page from | 155 |
Page to | 177 |
Reviewed? | Y |
DOI | https://doi.org/10.1016/j.jfineco.2014.06.001 |
Open Access | N |
Associations
- People
- Jankowitsch, Rainer (Details)
- Nagler, Florian (Former researcher)
- External
- Subrahmanyam, Marti G. (New York University - Stern School of Business, United States/USA)
- Organization
- Institute for Financial Research IN (Details)
- Institute for Finance, Banking and Insurance IN (Details)