| Title: |
The Determinants of Recovery Rates in the US Corporate Bond Market |
| Authors: |
Rainer Jankowitsch; Florian Nagler; Marti G. Subrahmanyam; Jel-classification G G |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Source: |
http://pages.stern.nyu.edu/~msubrahm/papers/Recovery.pdf. |
| Publication Year: |
2012 |
| Collection: |
CiteSeerX |
| Subject Terms: |
credit risk; recovery rate; corporate bonds; liquidity |
| Description: |
We examine the recovery rates of defaulted bonds in the US corporate bond market over the time period 2002 to 2010, based on a complete set of traded prices and volumes around various types of default events. Our detailed and unique study of the microstructure of trading activity allows us to assess the liquidity of defaulted bonds and estimate reliable market-based recovery rates. We quantify the relation between these recovery rates and a comprehensive set of bond characteristics, firm fundamentals, macroeconomic variables and liquidity measures, explaining 64 % of the total variance in the recovery rates across bonds. We find that transaction costs metrics of liquidity are particular important determinants of the recovery rate, along with balance sheet ratios motivated by structural credit risk models, and macroeconomic variables. Furthermore, we confirm that the type of default event, the seniority of the bond, and the industry in which the firm operates are of importance, in explaining the recovery rate. |
| Document Type: |
text |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.421.1333; http://pages.stern.nyu.edu/~msubrahm/papers/Recovery.pdf |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.421.1333; http://pages.stern.nyu.edu/~msubrahm/papers/Recovery.pdf |
| Rights: |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: |
edsbas.7F13FFD5 |
| Database: |
BASE |