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!new_[0!]_clean_tick_trace.R
!new_[0!]_clean_tick_trace.R
 
 
!new_[0!]_daily_trace+ai+ytm.R
!new_[0!]_daily_trace+ai+ytm.R
 
 
!new_[00-1]_preclean_trace_2004-2008.R
!new_[00-1]_preclean_trace_2004-2008.R
 
 
!new_[00-2]_preclean_trace_2009-2012.R
!new_[00-2]_preclean_trace_2009-2012.R
 
 
!new_[00-3]_preclean_trace_2012-2014.R
!new_[00-3]_preclean_trace_2012-2014.R
 
 
!new_[00-4]_preclean_trace_2015-2017.R
!new_[00-4]_preclean_trace_2015-2017.R
 
 
!new_[00-5]_preclean_trace_2017-2019.R
!new_[00-5]_preclean_trace_2017-2019.R
 
 
!new_[00-6]_preclean_trace_2019-2020.R
!new_[00-6]_preclean_trace_2019-2020.R
 
 
!new_[1b]_daily_outstanding_rating.R
!new_[1b]_daily_outstanding_rating.R
 
 
!new_[d-2]_clean_trace_traded_shortcut.R
!new_[d-2]_clean_trace_traded_shortcut.R
 
 
!new_[d-3a]_daily_prices.R
!new_[d-3a]_daily_prices.R
 
 
!new_[d-3b]_liquidity-daily.R
!new_[d-3b]_liquidity-daily.R
 
 
!new_[d-3c]_numtrd-daily.R
!new_[d-3c]_numtrd-daily.R
 
 
!new_[d-3d]_volume-daily.R
!new_[d-3d]_volume-daily.R
 
 
!new_[d-3e]_numtrd-daily-withzero.R
!new_[d-3e]_numtrd-daily-withzero.R
 
 
!new_[d-4]_merged-daily.R
!new_[d-4]_merged-daily.R
 
 
!new_[d-5a]_fund-holdings.R
!new_[d-5a]_fund-holdings.R
 
 
!new_[d-5c]_smoothperiods.R
!new_[d-5c]_smoothperiods.R
 
 
!new_[d-5d]_smoothperiods_peryear.R
!new_[d-5d]_smoothperiods_peryear.R
 
 
!new_[d-5e]_smoothperiods_large.R
!new_[d-5e]_smoothperiods_large.R
 
 
!new_[d-6a]_reversals_only_daily.R
!new_[d-6a]_reversals_only_daily.R
 
 
!new_[d-6b]_reversals_only_daily_peryq.R
!new_[d-6b]_reversals_only_daily_peryq.R
 
 
!new_[d-6c]_reversals_only_daily_earnings.R
!new_[d-6c]_reversals_only_daily_earnings.R
 
 
!new_[d-6d]_reversals_only_daily_robust.R
!new_[d-6d]_reversals_only_daily_robust.R
 
 
.gitignore
.gitignore
 
 
README.md
README.md
 
 
[func]_CIR2+D99_KFs.R
[func]_CIR2+D99_KFs.R
 
 
corstars.R
corstars.R
 
 
delete.R
delete.R
 
 
desc.R
desc.R
 
 
ekfrun_cpp_singleobs.cpp
ekfrun_cpp_singleobs.cpp
 
 
ff_chart.R
ff_chart.R
 
 
predict_felm.R
predict_felm.R
 
 
ratfunc.R
ratfunc.R
 
 
starfunc.R
starfunc.R
 
 
stylized_chart_newest_2023.R
stylized_chart_newest_2023.R
 
 

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Code for 'Corporate Bond Price Reversals' by Alexey Ivashchenko

Files '!new_<...>' implement sequentially the results of the paper. The code uses the data from a number of datasets (Academic TRACE, Enhanced TRACE, Mergent FISD, CRSP, Compustat, and IBES) that can not be made public.

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Code for the paper 'Corporate Bond Price Reversals'

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