Asquith, Paul, David W. Mullins, Jr., and Eric D. Wolff, "Original Issue High Yield Bonds: Aging analyses of defaults, exchanges, and calls", Journal of Finance, Vol. 44, No. 4, (September 1989), pp. 923-952.

Abstract: This paper presents an aging analysis of 741 high yield bonds and finds default, exchange, and call percentages substantially higher than reported in earlier studies. By December 31.1988, cumulative defaults are 34 percent for bonds issued in 1977 and 1978 and range from 19 to 27 percent for issue years 1979-1983 and from 3 to 9 percent for issue years 1984-1986. Exchanges are also a significant factor although they often are followed by default. Moreover, a significant percentage of high yield debt, 26-47 percent for 1977-1982, has been called. By December 31, 1988, approximately one third of the bonds issued in 1977-1982 has defaulted or been exchanged, and an additional one third has been called. On average, only 28 percent of these issues are still outstanding. There is no evidence that early results for more recent issue years differ markedly from issue years 1977 to 1982.