Altman, Edward I., "Measuring Corporate Bond Mortality and Performance", Journal of Finance, Vol. 44, No. 4, (September 1989), pp. 909-922.

Abstract: This study develops an alternative way to measure default risk and suggests an appropriate method to assess the performance of fixed-income investors over the entire spectrum of credit-quality classes. The approach seeks to measure the expected mortality of bonds and the consequent loss rates in a manner similar to the way actuaries assess mortality of human beings. The results show that all bond ratings outperform riskless Treasuries over a ten-year horizon and that, despite relatively high mortality rates, B-rated and CCC-rated securities outperform all other 'rating categories for the first four years after issuance, with BB-rated securities outperforming all others hereafter.

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