Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities

New York University, Center for Law and Business, Working Paper No. 98-022

24 Pages Posted: 8 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

Date Written: October 1998

Abstract

The market for investing in distressed and defaulted debt is continuing to receive a great deal of attention despite the shrinkage in the supply of new securities in the last few years and the recent (1997-98) poor return performance to investors. This is primarily due to the expected growth in the supply of new distressed and defaulted public and private debt paper, the perception that prices are now at attractive levels and the documented relatively low correlation of returns with the more traditional debt and equity markets. This article reviews some of the important attributes of this unique investment vehicle and updates our analysis of the risk and return performance of defaulted debt.

JEL Classification: G12

Suggested Citation

Altman, Edward I., Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities (October 1998). New York University, Center for Law and Business, Working Paper No. 98-022. Available at SSRN: https://ssrn.com/abstract=164502 or http://dx.doi.org/10.2139/ssrn.164502

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

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