How to clean TRACE data
How to clean STANDARD TRACE data (from WRDS)
The corporate bond data provided by FINRA in the TRACE database available via WRDS needs to be cleaned before use. This note explains how to clean the data:The SAS-code for cleaning the standard TRACE data can be downloaded here:
How to clean ENHANCED TRACE data (from WRDS)
This note expands the filter to handle the historic enhanced TRACE data. The SAS-code for this filter is printed inside the note.How to clean ACADEMIC TRACE data (from FINRA)
This note expands the filter to handle the academic TRACE data with can be accessed through an agreement with FINRA. The SAS-code for this filter is printed inside the note. The note and filter is joint work with Thomas K. Poulsen (BI, Oslo).Last updated by: Jens Dick-Nielsen 06/02/2020
RFS lead article, Jan 2019
My paper "The cost of immediacy for corporate bonds", co-authored with Marco Rossi, has been chosen as Lead article and Editor's choice in the January 1st, 2019 issue of the Review of Financial Studies.
Presented at 2020 AFA in San Diego
Presented a working paper on the cost of capital for banks. We show that investors adjust their expectations as if the conservation of risk principle holds true for banks.