Reconciling TRACE Bond Returns
20 Pages Posted: 29 Apr 2022
Date Written: March 10, 2022
TRACE bond returns are meaningfully different from ICE bond return data used by banks, asset managers, and hedge funds. The core results of Kelly at al. (forthcoming) are robust to instead using WRDS/TRACE data.
Keywords: corporate bond returns, factor model, IPCA, bond portfolio
JEL Classification: G10, G12
Suggested Citation: Suggested Citation