The determinants of recovery rates in the US corporate bond market

• 成果类型: Article
• 署名作者: Jankowitsch, Rainer; Nagler, Florian; Subrahmanyam, Marti G.
• 署名单位: Vienna University of Economics & Business; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.06.001
• 发表日期: 2014
• 页码: 155-177
• 关键词: credit risk; Recovery rate; Corporate bonds; liquidity

摘要

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. (C) 2014 Elsevier B.V. All rights reserved.