TY - JOUR T1 - The Life Expectancy of Fallen Angels JF - The Journal of Investing SP - 110 LP - 123 DO - 10.3905/joi.2017.26.2.110 VL - 26 IS - 2 AU - Dror Parnes AU - Sagi Akron Y1 - 2017/05/31 UR - https://pm-research.com/content/26/2/110.abstract N2 - 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 ER -