The Journal of Finance

The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.

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Defaults of Original Issue High‐Yield Convertible Bonds

Published: 03/01/1993   |   DOI: 10.1111/j.1540-6261.1993.tb04714.x

ERIC S. ROSENGREN

Recent studies using aging analysis have found high rates of default for rated, nonconvertible high‐yield bonds. This paper examines the remainder of the market and concludes that rated and nonrated convertible high‐yield bonds had significantly lower default rates. It also provides some evidence that nonrated, nonconvertible securities may have lower default rates. Even after controlling for issue size and coupon rates in a logit model, these differences remain statistically significant.