Defaults and Returns on High Yield Bonds: Analysis Through 1994

Posted: 30 Aug 1999

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

Multiple version iconThere are 2 versions of this paper

Abstract

Nineteen-ninety-four was a relatively lackluster year for the high yield market with relatively low defaults combined with slightly negative total returns. When viewed in comparative terms with other fixed income securities markets, however, high yield debt performed quite well. Compared to long term U.S. Government securities, the average yield spread on high yield debt dropped to the lowest year-end level (3.44%) since 1984. This report documents the high yield debt market's risk and return performance in 1994 by presenting default and mortality statistics, and provides a matrix of average returns and other performance statistics over the relevant periods of the market's evolution. Our analysis covers the period 1971-1994 for defaults and 1978-1994 for returns.

JEL Classification: G19

Suggested Citation

Altman, Edward I. and Kishore, Vellore, Defaults and Returns on High Yield Bonds: Analysis Through 1994. Available at SSRN: https://ssrn.com/abstract=6481

Edward I. Altman (Contact Author)

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

44 West 4th Street
New York, NY 10012
United States
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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,553
PlumX Metrics