FRIC research forms basis for new WRDS data set

Research by Associate Professor Jens Dick-Nielsen, Center for Financial Frictions, forms the basis for a new WRDS Bond Return Database


Two articles from 2009 and 2014 written by Associate Professor Jens Dick-Nielsen, from the Center for Financial Frictions at the Department of Finance, form the basis for a new data set provided by WRDS containing corporate bond returns. The new data set is the WRDS Bond Return database, which is similar to the highly used CRSP database for stock returns, except this database is for corporate bonds. This new WRDS Bond Return database could very well become the standard source of corporate bond returns in the future.

The WRDS Bond Return Database is constructed by WRDS themselves and is based on bond transactions from FINRA’s TRACE (Trade Reporting and Compliance Engine) data and bond characteristics from Mergent FISD. Jens Dick-Nielsen’s research has been used in the cleaning of the transaction data prior to the return calculation done by WRDS.

In the WRDS Corporate Bond Database: Data Overview and Construction Manual, Jens Dick-Nielsen’s papers (2009, 2014) are cited together with another paper by Asquith, Covert and Pathak (2013) as the basis for the cleaned TRACE data underlying the bond returns.

“This is a nice example of FRIC research helping other researchers working with the world’s most important corporate bond data base,” says FRIC Center Leader David Lando.

More information
You can read more about how to clean TRACE data on Jens Dick-Nielsen’s website here.

You can find the WRDS Corporate Bond Database: Data Overview and Construction Manual by logging into the WRDS website.

The page was last edited by: Center for Financial Frictions // 07/11/2023