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The Journal of Portfolio Management

The Journal of Portfolio Management

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Primary Article

Defaults and Returns on High-Yield Bonds

Edward I. Altman and Gaurav Bana
The Journal of Portfolio Management Winter 2004, 30 (2) 58-73; DOI: https://doi.org/10.3905/jpm.2004.319931
Edward I. Altman
The Max L. Heine professor of finance, and director of the NYU Salomon Center at the Leonard N. Stern School of Business Program in Fixed Income and Credit Markets. ealtman@stern.nyu.edu
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Gaurav Bana
An associate at ABN Amro in New York City.
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Abstract

The year 2002 was remarkably difficult on many fronts for most financial markets. For the high-yield bond market, it was again a year of record amounts of defaults ($97.9 billion), which contributed to low recovery rates and slightly negative absolute returns. The default rate registered a record 12.8%, based on $757 billion outstanding. Despite these record default totals and rates, the market's decline was orderly, with little panic, and the year actually ended with reduced defaults and highly positive returns in the fourth quarter—a harbinger of a broad-based comeback in the high—yield bond and defaulted debt markets in 2003.

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The Journal of Portfolio Management
Vol. 30, Issue 2
Winter 2004
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Defaults and Returns on High-Yield Bonds
Edward I. Altman, Gaurav Bana
The Journal of Portfolio Management Jan 2004, 30 (2) 58-73; DOI: 10.3905/jpm.2004.319931

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Defaults and Returns on High-Yield Bonds
Edward I. Altman, Gaurav Bana
The Journal of Portfolio Management Jan 2004, 30 (2) 58-73; DOI: 10.3905/jpm.2004.319931
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