Data Uncertainty in Corporate Bonds

103 Pages Posted: 29 May 2024

See all articles by Gergana Jostova

Gergana Jostova

George Washington University - Department of Finance

Stanislava (Stas) Nikolova

University of Nebraska-Lincoln

Alexander Philipov

George Mason University - Department of Finance

Date Written: May 24, 2024

Abstract

We study the impact of data uncertainty in corporate bonds on decision making. We provide a taxonomy of data choices a researcher is compelled to make when constructing a sample of monthly corporate bond returns, and investigate the impact of these choices on the researcher's conclusions. Using momentum as a case study, we show that different but reasonable data choices may lead to conflicting findings about a strategy's profitability and thus result in data uncertainty. We propose a Bayesian decision-making framework for a researcher faced with data uncertainty.

Keywords: Corporate bonds, data uncertainty, TRACE, momentum, replication, Bayesian, asset pricing, anomalies.

JEL Classification: G10, G12, G14

Suggested Citation

Jostova, Gergana and Nikolova, Stanislava (Stas) and Philipov, Alexander, Data Uncertainty in Corporate Bonds (May 24, 2024). Available at SSRN: https://ssrn.com/abstract=4840643 or http://dx.doi.org/10.2139/ssrn.4840643

Gergana Jostova (Contact Author)

George Washington University - Department of Finance ( email )

2201 G St NW
Funger Hall, Suite 501
Washington, DC 20052
United States
202-994-7478 (Phone)

HOME PAGE: http://business.gwu.edu/gergana-jostova

Stanislava (Stas) Nikolova

University of Nebraska-Lincoln ( email )

730 N. 14th Street
P.O. Box 880405
Lincoln, NE 68588-0405
United States

Alexander Philipov

George Mason University - Department of Finance ( email )

Fairfax, VA 22030
United States

HOME PAGE: http://mason.gmu.edu/~aphilipo

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