Frontaler Blick auf das D4 Gebäude.

Brown Bag Seminar - Benjamin Karner, JKU Linz

03/06/2025

We are pleased to announce the upcoming Brown Bag Seminar on June 11, 2025.

Our speaker will be Benjamin Karner (JKU Linz).

He will give a talk on “The Bond Agio Premium in High-Yield Markets”.

Abstract: This paper investigates the presence of a bond agio premium in high-yield bond markets. Higher-priced bonds carry a greater potential loss in case of default compared to lower-priced bonds for which investors should be compensated. Leveraging constituent-level, high-yield bond index data from both developed and emerging markets spanning January 2013 to June 2024, we empirically test for the existence of this premium. Using CDS data and their implied probabilities of default, we compute theoretical bond agio premia, which we compare to our empirical findings to assess if investors adequately account for this additional risk. Taking our empirical measure for the bond agio premium as a given, we are able to calculate market implied recovery rates. Our findings provide robust evidence supporting the existence of a bond agio premium, offering new insights into risk compensation mechanisms within high-yield bond markets.
 

The talk will take place on June 11, 2025 at 12:00 pm in room TC.4.27.

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