Defaults and Returns on High Yield Bonds: Analysis Through 1995

30 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

Vellore Kishore

New York University (NYU) - Department of Finance

Date Written: 1995

Abstract

Nineteen-ninety five was an excellent year for the high yield market with relatively low defaults combined with returns of almost 20%, the highest since 1991. When viewed in comparative terms with other fixed income securities markets, however, the high yield debt market s performance in 1995 was not exceptional. This report documents the high yield debt market s risk and return performance by presenting default and mortality statistics and providing a matrix of average returns and other performance statistics over the relevant periods of the market s evolution. Our analysis covers the period 1971-1995 for defaults and 1978-1995 for returns.

Suggested Citation

Altman, Edward I. and Kishore, Vellore, Defaults and Returns on High Yield Bonds: Analysis Through 1995 (1995). NYU Working Paper No. FIN-95-003, Available at SSRN: https://ssrn.com/abstract=1298310

Edward I. Altman (Contact Author)

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

44 West 4th Street
New York, NY 10012
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212-998-0709 (Phone)
212-995-4220 (Fax)

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

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

Vellore Kishore

New York University (NYU) - Department of Finance

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

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