Distressed and Defaulted Debt Securities: Market Dynamics and Investment Performance

17 Pages Posted: 11 Nov 2008

See all articles by Edward I. Altman

Edward I. Altman

New York University (NYU) - Salomon Center; New York University (NYU) - Department of Finance

Date Written: July 1995

Abstract

The market for investing in distressed and defaulted debt is continuing to receive a great deal of attention despite the shrinkage in the supply of new securities in 1993-1995 (first half). This is primarily due to the continued excellent return performance of defaulted bonds, the expected growth in the supply of new distressed and defaulted public and private debt paper, and the clearly documented relatively low correlation of returns with the more traditional debt and equity markets. This study reviews some of the important attributes of this unique investment vehicle and updates our analysis of the risk and return performance of the most extreme component of the distressed market defaulted debt.

Suggested Citation

Altman, Edward I., Distressed and Defaulted Debt Securities: Market Dynamics and Investment Performance (July 1995). NYU Working Paper No. FIN-95-002, Available at SSRN: https://ssrn.com/abstract=1298309

Edward I. Altman (Contact Author)

New York University (NYU) - Salomon Center ( email )

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212-995-4220 (Fax)

New York University (NYU) - Department of Finance ( email )

Stern School of Business
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New York, NY 10012-1126
United States

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