Altman, Edward I. and Vellore M. Kishore, "Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds", Financial Analysts Journal, Vol. 52, No. 6, (November/December 1996), pp. 57-64.
Abstract: This study documents, for the first tine, the severity of bond defaults stratified by Standard Industrial Classification sector and by debt seniority. The highest average recoveries came from public utilities (70 percent) and chemical, petroleum, and related products (63 percent). The differences between those sectors and all the rest are statistically significant, even when adjusted for seniority. The original rating of a bond issue as investment grade or below investment grade has virtually no effect on recoveries once seniority is accounted for. In addition, neither the size of the issue nor the time to default from its original date of issuance has any association with the recovery rate. These results should provide important information for investors as well as analysts.