Liquidity Biases in TRACE

By Jens Dick‐Nielsen. Journal of Fixed Income, 2009

335 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/fab8714fd62986b7172527761a95d5a6760fa2eb

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Citations in the corpus

Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, methodology): “Retail-sized trades (trades below $100,000 in volume) are discarded and after ﬁltering out erroneous trades, as described in Dick-Nielsen (2009), we are left with 8,212,990 trades.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, positive): “Error trades are filtered out using the approach in Dick-Nielsen (2009).”
Climate Change News Risk and Corporate Bond Returns (2020, positive): “The procedure to clean the TRACE Enhanced data closely follows that of Dick-Nielsen (2009), (2014).4 Following Bao, Pan, andWang (2011), we require the bonds in our sample to trade on at least 75% of their trading days over the sample period.”
The Empirical Analysis of Liquidity (2014, methodology): “15Dick-Nielsen [2009] reports procedures to clean the TRACE data.”
Dealer balance sheets and bond liquidity provision (2016, neutral): “Although in the literature many follow Dick-Nielsen (2009), the supervisory version of TRACE allows us to better address some of the issues resulting from correction and cancellation records.”
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, methodology): “We use the filters proposed by Dick-Nielsen (2009) for the TRACE data to eliminate potentially erroneous data points.”
Financial statement comparability and credit risk (2013, neutral): “(2001), Dick-Nielsen et al. (2012)), Huang and Huang (2012), Collin-Dufresne et al.”