Add to ORKGWe 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
This thesis covers defaults in the Norwegian high yield bond market between January 1st 2005 and Jun...
This paper employs bond transaction data from 2002 and 2011 to investigate the trading activity and ...
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectat...
We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete se...
We examine the recovery rates of defaulted bonds in the US corporate bond market over the time perio...
We examine the recovery rates of defaulted bonds in the US corporate bond market over the time perio...
We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete se...
This paper analyzes the association between default and recovery rates on credit assets, and seeks t...
In this thesis, we analyse market-based recovery rates on 78 defaulted high yield bonds in the Nord...
This paper analyzes the association between aggregate default and recovery rates on credit assets, a...
This paper analyzes the association between default and recovery rates on credit assets and seeks to...
This paper analyzes the association between aggregate default and recovery rates on credit assets, a...
4) the prevailing credit spreads at the time of default, and 5) the market-to-book ratio of the firm...
We document empirically the determits of the observed recovery rates on defaulted securities in the ...
A pplying the same methods and definitions as in Altman, Resti and Sironi (2005) t his thesis seeks ...
This thesis covers defaults in the Norwegian high yield bond market between January 1st 2005 and Jun...
This paper employs bond transaction data from 2002 and 2011 to investigate the trading activity and ...
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectat...
We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete se...
We examine the recovery rates of defaulted bonds in the US corporate bond market over the time perio...
We examine the recovery rates of defaulted bonds in the US corporate bond market over the time perio...
We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete se...
This paper analyzes the association between default and recovery rates on credit assets, and seeks t...
In this thesis, we analyse market-based recovery rates on 78 defaulted high yield bonds in the Nord...
This paper analyzes the association between aggregate default and recovery rates on credit assets, a...
This paper analyzes the association between default and recovery rates on credit assets and seeks to...
This paper analyzes the association between aggregate default and recovery rates on credit assets, a...
4) the prevailing credit spreads at the time of default, and 5) the market-to-book ratio of the firm...
We document empirically the determits of the observed recovery rates on defaulted securities in the ...
A pplying the same methods and definitions as in Altman, Resti and Sironi (2005) t his thesis seeks ...
This thesis covers defaults in the Norwegian high yield bond market between January 1st 2005 and Jun...
This paper employs bond transaction data from 2002 and 2011 to investigate the trading activity and ...
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectat...