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Finance and Economics Discussion Series: Data for FEDS 2012-84 ^♣

Estimates of the Size and Source of Price Declines Due to Nearby Foreclosures

Elliot Anenberg and Edward Kung

Figure 1: Distance-to-Default by Type of Firm

week	coeff1	coeff2
-4	-0.0003	0.0003
-3	-0.0002	-0.0004
-2	0.0005	0.0013
-1	0.0001	-0.0004
0	0.007	0.0165
1	-0.0003	-0.0016
2	-0.0003	0.0014
3	0.0003	0.0009
4	-0.0015	-0.0027

Return to Figure 1

Figure 2: Callable Corporate Bonds

week	coeff1	coeff2
-4	-0.0006	-0.0002
-3	-0.0005	0.0009
-2	0.0003	0.0002
-1	-0.0002	0.0008
0	0.0066	0.0065
1	-0.0005	0.0005
2	-0.0006	-0.0007
3	0	0.0009
4	-0.0017	0.0003

Return to Figure 2

Figure 3: Credit Spreads on Corporate Bonds by Type of Firm

	Change in Log Sales Price
F - 240 to F - 300	-0.0027254
F - 180 to F - 240	-0.0049668
F - 120 to F - 180	-0.0089704
F - 60 to F - 120	-0.0042438
F to F - 60	-0.0044579
F to F + 60	-0.0078599
F + 60 to F + 120	-0.0054596
F + 120 to F + 180	-0.0064448
During Listing	-0.0178048
After Listing	-0.0086469

Return to Figure 3

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