End-to-end Python implementation of Dickerson, Mueller & Robotti (JFE 2023). Implements Dick-Nielsen TRACE cleaning, KRS misspecification-robust two-pass CSR, BKRS jackknife bias-corrected Sharpe ratios, and Fama-MacBeth regressions to rigorously identify priced risk factors in U.S. corporate bonds. Prevents false discoveries.
python finance replication trace portfolio-optimization quantitative-finance asset-pricing fixed-income factor-models jackknife fama-macbeth financial-econometrics risk-factors credit-risk wrds liquidity-risk empirical-asset-pricing corporate-bonds cross-sectional-regression bond-returns
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Updated
Jun 14, 2026 - Jupyter Notebook