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cross-sectional-regression

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chirindaopensource / priced_risk_in_corporate_bonds

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End-to-end Python implementation of Dickerson, Mueller & Robotti (JFE 2023). Implements Dick-Nielsen TRACE cleaning, KRS misspecification-robust two-pass CSR, BKRS jackknife bias-corrected Sharpe ratios, and Fama-MacBeth regressions to rigorously identify priced risk factors in U.S. corporate bonds. Prevents false discoveries.

python finance replication trace portfolio-optimization quantitative-finance asset-pricing fixed-income factor-models jackknife fama-macbeth financial-econometrics risk-factors credit-risk wrds liquidity-risk empirical-asset-pricing corporate-bonds cross-sectional-regression bond-returns
  • Updated Jun 14, 2026
  • Jupyter Notebook

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