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Defaults of Original Issue High‐Yield Convertible Bonds
Author(s) -
ROSENGREN ERIC S.
Publication year - 1993
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1993.tb04714.x
Subject(s) - convertible bond , default , yield (engineering) , bond , coupon , convertible , econometrics , economics , financial economics , business , monetary economics , actuarial science , finance , engineering , materials science , structural engineering , metallurgy
ABSTRACT Recent studies using aging analysis have found high rates of default for rated, nonconvertible high‐yield bonds. This paper examines the remainder of the market and concludes that rated and nonrated convertible high‐yield bonds had significantly lower default rates. It also provides some evidence that nonrated, nonconvertible securities may have lower default rates. Even after controlling for issue size and coupon rates in a logit model, these differences remain statistically significant.