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
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