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The Life Expectancy of Fallen Angels

Dror Parnes and Sagi Akron
The Journal of Investing Summer 2017, 26 (2) 110-123; DOI: https://doi.org/10.3905/joi.2017.26.2.110
Dror Parnes
is an assistant professor in the Department of Economics and Finance at Texas A&M University in Commerce, TX
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Sagi Akron
is an assistant professor of finance in the Faculty of Management at the University of Haifa in Mount Carmel, Israel
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Abstract

In this study, we develop analytic derivations for the projected mean and median times to default for high-yield bonds that have been previously downgraded from investment-grade ratings. These predictive measures are calibrated for both the respective times already spent in the group of high credit grades and the inherent dependency between the observed times in the investment and the speculative classes. We also document an inverse historical relation between the time spent in the group of investment-grade ratings and the noninvestment class. Furthermore, we calculate both the mean and the median times to default for numerous junk bonds in their diverse life cycles. Finally, we ide.tify the most influential accounting and market ratios that can explain the life expectancies of fallen angels. The framework presented hereafter aims to benefit high-yield debt investors.

TOPICS: Fixed income and structured finance, statistical methods

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The Journal of Investing: 26 (2)
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The Life Expectancy of Fallen Angels
Dror Parnes, Sagi Akron
The Journal of Investing May 2017, 26 (2) 110-123; DOI: 10.3905/joi.2017.26.2.110

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The Life Expectancy of Fallen Angels
Dror Parnes, Sagi Akron
The Journal of Investing May 2017, 26 (2) 110-123; DOI: 10.3905/joi.2017.26.2.110
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