Dickerson, et al. (2023)

Bond returns and characteristics (TRACE only) from https://openbondassetpricing.com/

This module downloads and processes data developed by:

See the authors’ dedicated website for more information on this dataset: https://openbondassetpricing.com/

PROVIDER = 'Alexander Dickerson, Philippe Mueller, Cesare Robotti, 2023'
URL = 'https://openbondassetpricing.com/wp-content/uploads/2023/10/WRDS_MMN_Corrected_Data.csv.zip' #contains a gzip file inside a zip file
GZ_FILE = 'WRDS_MMN_Corrected_Data.csv.gzip'
HOST_WEBSITE = 'https://openbondassetpricing.com/'
FREQ = 'M'
MIN_YEAR = 2002
MAX_YEAR = None
ENTITY_ID_IN_RAW_DSET = 'cusip' # 9 digit cusip
ENTITY_ID_IN_CLEAN_DSET = 'cusip'
TIME_VAR_IN_RAW_DSET = 'date'
TIME_VAR_IN_CLEAN_DSET = f'{FREQ}date'

source

get_raw_data

 get_raw_data (url:str='https://openbondassetpricing.com/wp-
               content/uploads/2023/10/WRDS_MMN_Corrected_Data.csv.zip',
               gz_file:str='WRDS_MMN_Corrected_Data.csv.gzip')

Download raw data from url

Type Default Details
url str https://openbondassetpricing.com/wp-content/uploads/2023/10/WRDS_MMN_Corrected_Data.csv.zip
gz_file str WRDS_MMN_Corrected_Data.csv.gzip Name of the gzip file inside the zip file found at url
Returns pd.DataFrame 
raw = get_raw_data()
raw.head(0)
date cusip exretn_t+1 exretnc_dur_t+1 bond_ret_t+1 bond_ret exretn exretnc_dur rating cs ... BOND_YIELD CS BONDPRC PRFULL DURATION CONVEXITY bond_value BOND_VALUE dtdate Mdate

0 rows × 35 columns

source

process_raw_data

 process_raw_data (df:pandas.core.frame.DataFrame=None,
                   permno_to_bond_cusip:Union[bool,pandas.core.frame.DataF
                   rame]=True)

Cleans up dates and optionally adds CRSP permnos

Type Default Details
df pd.DataFrame None
permno_to_bond_cusip bool | pd.DataFrame True Whether to download permno-cusip link. If DataFrame, must contain ‘cusip’
Returns pd.DataFrame 
clean = process_raw_data(raw)
clean.head(0)
date cusip exretn_t+1 exretnc_dur_t+1 bond_ret_t+1 bond_ret exretn exretnc_dur rating cs ... dtdate Mdate permno permco trace_startdt trace_enddt crsp_startdt crsp_enddt link_startdt link_enddt

0 rows × 43 columns