RT Journal Article SR Electronic T1 Return Dynamics of Distressed Bonds JF The Journal of Portfolio Management FD Institutional Investor Journals SP 102 OP 109 DO 10.3905/JPM.2009.35.2.102 VO 35 IS 2 A1 Karen Sterling A1 Martin S Fridson A1 Vince C.C Kong YR 2009 UL https://pm-research.com/content/35/2/102.abstract AB This study adds to the small, but growing, body of research on active management of distressed debt. The analysis stratifies the distressed debt universe in various ways to test whether certain subgroups exhibit comparatively low risk or comparatively high returns, thereby representing superior investment opportunities. A small group of distressed bonds rated double-B do provide statistically lower default rates and higher bear market returns than single-B or triple-C issues. The authors also find no comparable advantages for bonds issued by public companies over bonds issued by private companies, which challenges the prevailing investor preference for public companies. And contrary to popular belief, agency ratings do appear to provide information content in the speculative grade market.TOPICS: Portfolio construction, in markets, commodities