27. Kwok Yuen Ng and Bruce Phelps, “Capturing Credit-Spread Premium: Alternative Benchmarks for Credit Investors,” Barclays Capital (June 2010). This article traces the effect on credit index excess returns of rules that drop bonds immediately after downgrades to high-yield. Indices and other forced sellers incur significant losses on such bonds but never enjoy the benefits of a subsequent recovery. Also see Arik Ben Dor and Jason Xu, “Fallen Angels: Characteristics, Performance and Implications for Investors,” Journal of Fixed Income (Spring 2011), pp. 33–58. This article studies the price dynamics of fallen angels over a three-year period around the downgrade date.