High Yield, Future Tense: Cracking the Code of Speculative Debt


High Yield, Future Tense: Cracking the Code of Speculative Debt

Edited and with contributions by Karen Sterling, Ph.D., CFA and Martin Fridson, CFA, containing 18 chapters by 30 expert contributors with a foreword by Frank Fabozzi.

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The debut book publication by the New York Society of Security Analysts, a not-for-profit professional society dedicated to professional excellence and ethics in financial markets, High Yield, Future Tense: Cracking the Code of Speculative Debt presents the outlook for high yield bonds and predicts profound changes in the marketplace. Its four sections contain 18 contributions by 30 experts from finance and academe. Lavishly illustrated with 168 exhibits, including 111 charts and graphs and 57 tables in five colors, plus 31 mathematical formulae.

Product details: Hardback: 464 pages Publisher: New York Society of Security Analysts, Inc. (First Edition: September 9, 2015) Language: English ISBN: 978-0-692-46323-9

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Main Table of Contents

PART 1: Market Dynamics. Three contributions explore whether a crisis will follow today's low default rates and narrow yield spreads. Four others examine whether high yield spreads over-compensate for risk, uphold classic criticisms of underwriting practices, analyze market liquidity, and detail leveraged loans' evolution in a bond-like direction.

1 A Note on Credit Market Bubbles

Edward I. Altman, Ph.D., Max L. Heine Professor of Finance, and Brenda J. Kuehne, Credit & Debt Markets Research Specialist, Stern School of Business, New York University

2 Tight Money and High Yields

M. Christopher Garman, CFA, President, Garman Research, LLC

3 The High Yield Bond Market: A Tale of Boom and Bust

Michael E. Lewitt, J.D., Chief Investment Officer, The Credit Strategist Group, Inc.

4 Reaching for Yield, Avoiding High Yield: The Price Impact

Bo Becker, Ph. D., Professor of Finance Stockholm School of Economics

5 Underwriter Reputation & Certification in the High Yield Bond Market

Christian Andres, Ph.D., Chair of Empirical Corporate Finance, WHU - Otto Beisheim School of Management; André Betzer, Ph.D., Professor of Finance, Schumpeter School of Business, Bergische Universität Wuppertal; and Peter Limbach, Ph.D., Assistant Professor of Finance, Karlsruhe Institute of Technology

6 Facts and Fears of Secondary Market Liquidity

Oleg Melentyev, CFA, Head of U.S. Credit Strategy, Deutsche Bank

7 The Leveraged Loan Market in the Age of Dodd-Frank

Steven Miller, Managing Director, S&P Capital IQ Leveraged Commentary & Data

PART 2: Active Management. This section sheds light on non-standard leading indicators of high yield performance; the relationship between high yield and equity returns and distressed debt managers' response to the current, unusual credit cycle.

8 Market-Based Indicators of High Yield Bond Performance

David Ranson, Ph.D., President & Director of Research, HCWE, Inc.

9 The Credit Risk Premium and Return Predictability in High Yield Bonds

Jason M. Thomas, Ph.D., CFA, FRM, Managing Director & Director of Research, The Carlyle Group

10 The Asymmetric Predictability of High Yield Bond Returns

Tai-Wei Zhang, Ph.D., Assistant Professor and Wei-Hwa Wu, Ph.D., Assistant Professor, Ming Chuan University

11 The Dearth of Distress and the Rise of “Event-Driven” Investing

David D. Tawil, J.D., President & Co-Founder, Maglan Capital

PART 3: Analytical Innovation. Successful high yield investing depends on accurate estimation of risks other than default probability. New methodologies that address them include: systematic scoring of the quality of covenant packages of new issues and a monthly index of covenant quality; solutions to problems in measuring performance, quality, and valuation that may lead to investment errors and quantification of issue-level liquidity, enabling investors to make explicit tradeoffs between spread and liquidity.

12 Covenant Protections That Help to Preserve Bond Value in Distress Scenarios

Alexander C. Dill, J.D., Fellow, Institute for Compliance in Financial Markets, Chicago-Kent College of Law, Illinois Institute of Technology

13 The New Precision in High Yield Analysis

Martin Fridson, CFA, Chief Investment Officer, Lehmann Livian Fridson Advisors, LLC and Kai Chen, Quantitative Research Intern, FridsonVision, LLC

14 Emerging Trends in Recovery Analysis

Michael Paladino, CFA, Managing Director, U.S. Corporate Finance Group; Sharon E. Bonelli, Senior Director, U.S. Leveraged Finance; John H. Shen-Sampas, J.D., Director, Leveraged Finance Group; and Eric Rosenthal, Senior Director, Leveraged Finance Group, Fitch Ratings

15 Measuring Liquidity Premiums

Stephen Antczak, CFA, Head of U.S. Credit Strategy and Jung Lee, Credit Strategist, Citi

PART 4: Benchmarking. This section's chapters address intrinsic flaws in market indices. The authors predict further specialization of subindices to accommodate specialized strategies, address challenges of high yield index construction from the portfolio manager's perspective, and show the advantages of non-market-cap-weighted indices.

16 High Yield Bond Market Benchmarks: Past & Future

Frank K. Reilly, Ph.D., CFA, Bernard J. Hank Professor of Finance, University of Notre Dame and David J. Wright, Ph.D., Professor of Finance, College of Business, Economics, and Computing, University of Wisconsin-Parkside

17 High Yield Bond Indices: Can’t Live with Them, Can’t Live Without Them

Robert S. Kricheff, Senior Vice President and Portfolio Manager, Shenkman Capital Management, Inc.

18 Alternative Index for Global High Yield: E(C)RC Approach

Claudio Ferrarese, CFA, Quantitative Analyst; Peter Khan, Portfolio Manager; and David Buckle, Ph.D., Head of Quantitative Research, Fidelity Worldwide Investment

Book also contains: 168 exhibits, including 111 charts and graphs and 57 tables, plus 31 mathematical formulae.


Asset TV interviews editor Marty Fridson, CFA

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