Starjournal Quotation 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.


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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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Publication's profile

Status of publication Published
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)
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