Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Implications of Default Information Leakage on Recoveries

Mao-Wei Hung and Wen-Hsin Tsai
The Journal of Fixed Income Winter 2020, 29 (3) 22-37; DOI: https://doi.org/10.3905/jfi.2019.1.075
Mao-Wei Hung
is with the Department of International Business at National Taiwan University in Taipei, Taiwan
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Wen-Hsin Tsai
is with the Department of International Business at National Taiwan University in Taipei, Taiwan
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Using time-series recoveries implicit in 334 defaulted bonds issued by bankruptcy-filing firms in the United States, this article examines the influence from default information leakage on the recovery process. By distinguishing default from bankruptcy filing, results show that the recoveries shortly after default or filing can substitute for each other; however, neither is a good estimator for the recovery at bankruptcy resolution. Results document the assembled determinants that drive the level of recoveries postdefault. Characterizing a higher value of changes in recoveries are reductions in credit quality, issuance amount or macro condition, or rises in asset size, or market awareness of default information leakage. As bondholders perceive default-relevant information earlier than the formal filing, distressed bond trading activities originating from the pressure to sell intensify with high transaction costs, decreasing the expectation on recoveries at filing. Alternatively, this brings in positive influence on the recoveries at bankruptcy resolution and magnifies the changes in recoveries for disvalued bonds.

TOPICS: Project finance, statistical methods, credit risk management

Key Findings

  • • By distinguishing default from formal filing, our article confirms that the recoveries shortly after default or fling can substitute for each other; however, neither is a good estimator for the recovery at bankruptcy resolution.

  • • As the market perceives default information leakage, distressed bond trading activity originating from the pressure to sell leads to lower expectation on recoveries at the instant of filing.

  • • Alternatively, it brings in higher ultimate recoveries, resulting in large deviation in recoveries at filing with bankruptcy resolution.

  • © 2019 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income: 29 (3)
The Journal of Fixed Income
Vol. 29, Issue 3
Winter 2020
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Implications of Default Information Leakage on Recoveries
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Implications of Default Information Leakage on Recoveries
Mao-Wei Hung, Wen-Hsin Tsai
The Journal of Fixed Income Dec 2019, 29 (3) 22-37; DOI: 10.3905/jfi.2019.1.075

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Implications of Default Information Leakage on Recoveries
Mao-Wei Hung, Wen-Hsin Tsai
The Journal of Fixed Income Dec 2019, 29 (3) 22-37; DOI: 10.3905/jfi.2019.1.075
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATA AND VARIABLE DEFINITION
    • IMPLICIT RECOVERY RATES AND ENDOGENOUS DEFAULT DATE
    • ESTIMATION RESULTS
    • DETERMINANTS ON THE LEVEL OF RECOVERY RATES
    • DETERMINANTS ON THE CHANGES IN RECOVERIES
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies