The Determinants of Recovery Rates in the US Corporate Bond Market
The Determinants of Recovery Rates in the US Corporate Bond Market
复制标题
美国公司债券市场回收率的决定因素
DOI：
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
M. Subrahmanyam
中科院分区：
文献类型：
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作者：
Rainer Jankowitsch;Florian Nagler;M. Subrahmanyam
我们基于一套完整的交易价格和交易量，研究了美国公司债券市场违约债券的回收率。围绕各种类型的违约事件的交易微观结构的研究。我们记录了违约日和随后30天的高交易量和低交易活动的临时价格压力。基于这一分析，我们确定基于市场的回收率，并量化各种流动性指标。我们研究了回收率和这些措施之间的关系，另外考虑了一套全面的债券特征，公司基本面和宏观经济变量。
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.