TRACE Data Description
The Rice University - Jesse H. Jones Graduate School of Business Management
Barbara Ostdiek <firstname.lastname@example.org>, Chris Downing <email@example.com>, Mark Cory, <firstname.lastname@example.org>,
L. Scott Baggett <email@example.com>, Shane E. Underwood <firstname.lastname@example.org>,
Yuhang Xing <email@example.com>, J.A. Dobelman <firstname.lastname@example.org>
D R A F T
2. Data Acquisition
3. Raw TRACE Database
4. TRACE with Constant Maturity Treasury (CMT)
5. TRACE with CMT and CRSP Security/Market Data
6. Straight debt TRACE data with CMT and CRSP data
1. IntroductionBack to Top
2. Data AcquisitionBack to Top
3. Raw TRACE DatabaseBack to Top
4. TRACE with Constant Maturity Treasury (CMT)Back to Top
5. TRACE with CMT and CRSP Security/Market DataBack to Top
6. Straight debt TRACE data with CMT and CRSP dataBack to Top
For a good overview of the TRACE program implementation, see Bessembinder, et. al (2005)
. . .
. . .
NOTE! There are currently no articles in the Journal of Fixed Income (1997-8/05) which reference the TRACE database, so GET WRITING!
Glauber, Robert, "Regulatory Challenges in the Securities Industry" . Journal of Applied Finance, Vol. 14, Vol. 2, Fall/Winter 2004 http://ssrn.com/abstract=670381
H Bessembinder, W Maxwell, K Venkataraman, "Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds" September 2005, Univeristy of Utah, David Eccles School of Business draft. http://home.business.utah.edu/~finhb/Current%20Research/bondtransparency.pdfBack to Top