Trace Corporate Bond Programs
Excerpts of Code for
“Capital Commitment and Illiquidity in Corporate Bonds”
Journal of Finance
Table of Contents
SECTION I: SAS CODE TO READ RAW ENHANCED TRACE ACADEMIC DATA – Section 1
SECTION II: SAS CODE TO MATCH TRADES TO FISD, TO CREATE ‘AGGREGATE MARKET’ SAMPLE OF TRADES, AND TO IDENTIFY DEALERS IN THE TOP 70% SAMPLE AND CONSTANT DEALER SAMPLE – Section 2
SECTION III: SAS CODE TO CREATE TABLE III TO ESTIMATE TRANSACTION COSTS ON CUSTOMER TRADES: 2006-2016 – Section 3
SECTION IV: SAS CODE TO CLASSIFY TRADES AS PRINCIPAL VS. NOT PRINCIPAL (AGENCY OR EFFECTIVELY AGENT TRADES) – Section 4
SECTION V: SAS CODE TO CREATE CAPITAL MEASURES AT THE DEALER-PORTFOLIO-DAY/WEEK/MONTH AND THE AGGREGATE-DAY/WEEK/MONTH FOR THE TOP 70% SAMPLE – Section 5