Welcome to the data repository for the research paper Corporate Bond Factors: Replication Failures and a New Framework. This page serves as a resource for accessing monthly factor excess returns data for corporate bonds, covering the period from 1985 to 2021. The factors are constructed based on value-weighted portfolios, sorted by broad credit rating groups and a specific signal. For example, the duration factor is formed by sorting bonds into three credit rating groups, then subdividing each group into terciles based on duration. Within each rating group, the factor is long-short high-low duration, and the factor's excess return is the average of the three long-short returns.
For an in-depth understanding of our data sources, portfolio construction methods, and factor definitions, we encourage you to consult our research paper.
Please note that this paper is currently under peer review and is considered a work in progress. Consequently, the data provided here may be subject to modifications. We highly value your feedback and kindly request that you report any discrepancies or errors you may encounter.
Note: Excess returns (ret_exc) are bond returns in excess of 1-month US treasuries. Pure credit returns (ret_texc) are bond returns in excess of duration matched treasury portfolios, where the term structure risk is hedged out by matching each coupon payment to a zero-coupon treasury with the same maturity.
Bond Market and Term Structure Factors: CSV - Includes the bond market factor and a term structure factor.
Bond Factors: CSV - Contains factors specific to different bond categories.
Firm-Level Bond Factors: CSV - Provides factors formed on synthetic firm-level bonds.
Equity Signal-Based Bond Factors: CSV - Features factors derived from equity signals.
Clustered Equity Signal-Based Bond Factors: CSV - Includes factors based on clustered equity signals.
Warga/ICE - CRSP link table: CSV
This is the linking table we use for merging corporate bonds with CRSP in the pre-TRACE period. For the TRACE period we use the linking table by WRDS.
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