U.S. Asset Characteristics Data

Equity and corporate bond characteristics for asset pricing research

Documentation

Corporate bond characteristics are constructed from cleaned TRACE transactions, FISD issue information, ratings, bond-equity links, and external macro and fixed-income factor inputs. The public release currently exposes raw and imputed characteristic panels.

Characteristic taxonomy

Corporate bond characteristics 54 signals monthly bond-level panel

Issue terms 8

Static issue-level attributes from FISD and cleaned bond reference data.

  • clean_price
  • size
  • rating
  • ytm
  • duration
  • benchmark_duration
  • age
  • time2maturity

Trading activity 18

TRACE-based liquidity, turnover, price dispersion, and transaction activity measures.

  • Amihud
  • std_Amihud
  • Roll
  • BPW
  • TC_IQR
  • P_HL
  • PI_Roll
  • PI_HL
  • barQ
  • std_barQ_1mom
  • Range_daily
  • trades
  • P_Zeros
  • P_FHT
  • PI_FHT
  • volume
  • turnover
  • range_monthly

Return risk 13

Bond return continuation, reversal, realized risk, downside risk, and tail behavior.

  • monthly_return
  • monthly_return_winsorized
  • variance
  • skewness
  • kurtosis
  • min_daily
  • max_daily
  • VaR_5%
  • VaR_10%
  • VaR_5%ES
  • VaR_10%ES
  • COSKEW
  • ISKEW

Momentum 4

Return continuation and reversal measures over short and intermediate horizons.

  • 1-month_mom
  • 6-month_mom
  • 12-month_mom
  • LTR_mom

Market exposure 11

Fixed-income, equity-market, and volatility-factor beta characteristics.

  • market_beta
  • market_residual_variance
  • term_beta
  • default_beta
  • term_default_residual_variance
  • drf_beta
  • crf_beta
  • lrf_beta
  • liq_beta
  • vix_beta
  • unc_beta

Characteristic explorer

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