Alex Dickerson
@alex-dickerson.bsky.social
Assistant Prof. in Finance at UNSW Business School
Open Source Bond Asset Pricing: https://openbondassetpricing.com
Webpage: https://www.alexdickerson.com
Open Source Bond Asset Pricing: https://openbondassetpricing.com
Webpage: https://www.alexdickerson.com
🚀 MAJOR RELEASE
The TRACE Corporate Bond Data Pipeline — October 2025 code release is live! Part of the Open Bond Asset Pricing initiative
Build your corporate bond database with the filtering choices you think are reasonable and defensible
Stage 0 code is ready to use:
github.com/Alexander-M-...
The TRACE Corporate Bond Data Pipeline — October 2025 code release is live! Part of the Open Bond Asset Pricing initiative
Build your corporate bond database with the filtering choices you think are reasonable and defensible
Stage 0 code is ready to use:
github.com/Alexander-M-...
GitHub - Alexander-M-Dickerson/trace-data-pipeline: End-to-end solution to process TRACE corporate bond data.
End-to-end solution to process TRACE corporate bond data. - Alexander-M-Dickerson/trace-data-pipeline
github.com
October 23, 2025 at 9:15 AM
🚀 MAJOR RELEASE
The TRACE Corporate Bond Data Pipeline — October 2025 code release is live! Part of the Open Bond Asset Pricing initiative
Build your corporate bond database with the filtering choices you think are reasonable and defensible
Stage 0 code is ready to use:
github.com/Alexander-M-...
The TRACE Corporate Bond Data Pipeline — October 2025 code release is live! Part of the Open Bond Asset Pricing initiative
Build your corporate bond database with the filtering choices you think are reasonable and defensible
Stage 0 code is ready to use:
github.com/Alexander-M-...
Our updated paper, “Factor Investing with Delays” (joint with Yoshio Nozawa and Cesare Robotti) develops a tractable framework for quantifying the cost of delays for factor investing in the illiquid corporate bond market: papers.ssrn.com/sol3/papers.... data + code on OpenBondAssetPricing
Factor Investing with Delays
We present a tractable framework for evaluating the cost of delays induced by infrequent trading in the corporate bond market. Using 341 corporate bond factors
papers.ssrn.com
July 14, 2025 at 9:50 PM
Our updated paper, “Factor Investing with Delays” (joint with Yoshio Nozawa and Cesare Robotti) develops a tractable framework for quantifying the cost of delays for factor investing in the illiquid corporate bond market: papers.ssrn.com/sol3/papers.... data + code on OpenBondAssetPricing
New version of "A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks" available: papers.ssrn.com/sol3/papers....
We develop a credit risk model that explains the correlation between equity and corporate bond returns.
We develop a credit risk model that explains the correlation between equity and corporate bond returns.
A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks
We develop a credit risk model to explain the correlation between stock and corporate bond returns. By jointly incorporating asset risk, stochastic volatility,
papers.ssrn.com
June 26, 2025 at 12:55 AM
New version of "A Credit Risk Explanation of the Correlation between Corporate Bonds and Stocks" available: papers.ssrn.com/sol3/papers....
We develop a credit risk model that explains the correlation between equity and corporate bond returns.
We develop a credit risk model that explains the correlation between equity and corporate bond returns.
Reposted by Alex Dickerson
New paper on the impact of transactions costs for investment corporate bond markets, where many bonds do not trade daily (or some not even monthly). With free Python code (PyBondLab) for bond researchers!
#EconSky #FinSky #Investing #Bonds #Quant #Research
Link: dx.doi.org/10.2139/ssrn...
#EconSky #FinSky #Investing #Bonds #Quant #Research
Link: dx.doi.org/10.2139/ssrn...
January 31, 2025 at 10:46 AM
New paper on the impact of transactions costs for investment corporate bond markets, where many bonds do not trade daily (or some not even monthly). With free Python code (PyBondLab) for bond researchers!
#EconSky #FinSky #Investing #Bonds #Quant #Research
Link: dx.doi.org/10.2139/ssrn...
#EconSky #FinSky #Investing #Bonds #Quant #Research
Link: dx.doi.org/10.2139/ssrn...
Reposted by Alex Dickerson
👇A financial economist to follow.
@alex-dickerson.bsky.social
Producer of great public goods for corporate bond research at openbondassetpricing.com
@alex-dickerson.bsky.social
Producer of great public goods for corporate bond research at openbondassetpricing.com
November 23, 2024 at 10:52 AM
👇A financial economist to follow.
@alex-dickerson.bsky.social
Producer of great public goods for corporate bond research at openbondassetpricing.com
@alex-dickerson.bsky.social
Producer of great public goods for corporate bond research at openbondassetpricing.com