Defaults and Returns on High Yield Bonds: Analysis Through 1994

29 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

Multiple version iconThere are 2 versions of this paper

Date Written: 1994

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.

Suggested Citation

Altman, Edward I. and Kishore, Vellore, Defaults and Returns on High Yield Bonds: Analysis Through 1994 (1994). NYU Working Paper No. FIN-94-003, Available at SSRN: https://ssrn.com/abstract=1298806

Edward I. Altman (Contact Author)

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

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

Stern School of Business
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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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