https://scholars.lib.ntu.edu.tw/handle/123456789/580000
標題: | Implications of default information leakage on recoveries | 作者: | MAO-WEI HUNG Tsai W.-H. |
公開日期: | 2020 | 卷: | 29 | 期: | 3 | 起(迄)頁: | 22-37 | 來源出版物: | Journal of Fixed Income | 摘要: | Using time-series recoveries implicit in 334 defaulted bonds issued by bankruptcy-filing firms in the United States, this article examines the influence from default information leakage on the recovery process. By distinguishing default from bankruptcy filing, results show that the recoveries shortly after default or filing can substitute for each other; however, neither is a good estimator for the recovery at bankruptcy resolution. Results document the assembled determinants that drive the level of recoveries postdefault. Characterizing a higher value of changes in recoveries are reductions in credit quality, issuance amount or macro condition, or rises in asset size, or market awareness of default information leakage. As bondholders perceive default-relevant information earlier than the formal filing, distressed bond trading activities originating from the pressure to sell intensify with high transaction costs, decreasing the expectation on recoveries at filing. Alternatively, this brings in positive influence on the recoveries at bankruptcy resolution and magnifies the changes in recoveries for disvalued bonds. ? 2019 Portfolio Management Research. All right reserved. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85093883247&doi=10.3905%2fjfi.2019.1.075&partnerID=40&md5=9494a4b4b51e342a857610418a0e386c https://scholars.lib.ntu.edu.tw/handle/123456789/580000 |
ISSN: | 10598596 | DOI: | 10.3905/jfi.2019.1.075 |
顯示於: | 國際企業學系 |
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