Foundations of High-Yield Analysis

66 Pages Posted: 23 Oct 2019

See all articles by Martin S. Fridson

Martin S. Fridson

Lehmann, Livian, Fridson Advisors LLC

Date Written: August 27, 2018


This Research Foundation brief explores various dimensions of the high-yield bond market. One contributor decomposes returns and relates risk and associated risk premiums via an econometric fair value model. Another illustrates principles of credit analysis via a case study involving a debt-financed merger. A third analytical piece focuses on forecasting the default rate. Two remaining contributions are primers — one on the corporate bankruptcy process and the other on high-yield bond covenants. The final section presents analyzes high-yield price histories as a function of macroeconomic forces, impulse forces, risk, and technical features of the time series themselves.

Suggested Citation

Fridson, Martin S., Foundations of High-Yield Analysis (August 27, 2018). CFA Institute Research Foundation Publications, August 2018, Volume 4, Issue 5, ISBN 978-1-944960-53-7, Available at SSRN: or

Martin S. Fridson (Contact Author)

Lehmann, Livian, Fridson Advisors LLC ( email )

136 E 57th Street
Suite 501
New York, NY 10022
United States

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