Reconciling TRACE Bond Returns

20 Pages Posted: 29 Apr 2022

See all articles by Bryan T. Kelly

Bryan T. Kelly

Yale SOM; AQR Capital Management, LLC; National Bureau of Economic Research (NBER)

Seth Pruitt

Arizona State University (ASU) - Finance Department

Date Written: March 10, 2022

Abstract

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

Kelly, Bryan T. and Pruitt, Seth, Reconciling TRACE Bond Returns (March 10, 2022). Available at SSRN: https://ssrn.com/abstract=4069478 or http://dx.doi.org/10.2139/ssrn.4069478

Bryan T. Kelly

Yale SOM ( email )

135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Seth Pruitt (Contact Author)

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

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