Jennie Bai (白潔)
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mEASURING Liquidity Mismatch in the Banking Sector, Journal of Finance, 2018

Data:​   click here to download
-- The first principal component of haircut across assets
-- The proxy of the liquidity premium: the 3-month Tbill-OIS spread
-- Sample period: 2002Q2 - 2015Q1

Note: To construct LMI, you also need bank holding data which can be downloaded from the website of the Federal Reserve Bank of Chicago (link). Please refer to Appendix A of the paper for the details of LMI calculation. If you need Stata code, please contact me. 

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COMMON RISK FACTORS IN THE CROSS-SECTION OF CORPORATE BOND RETURNS, JOURNAL OF FINANCIAL ECONOMICS, 2019
Data:   click here to download DRF, CRF, and LRF for the sample period Aug2002 to Dec2021

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