TY - JOUR
T1 - The Determinants of Recovery Rates in the US Corporate Bond Market
AU - Jankowitsch, Rainer
AU - Nagler, Florian
AU - Subrahmanyam, Marti G.
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
U2 - 10.1016/j.jfineco.2014.06.001
DO - 10.1016/j.jfineco.2014.06.001
M3 - Journal article
VL - 114
SP - 155
EP - 177
JO - Journal of Financial Economics
JF - Journal of Financial Economics
SN - 0304-405X
IS - 1
ER -