Data

On this page you can download my equity, bond, option and credit default swap factors formed on bankruptcy risk. For the full details of how they were generated, see my job market paper on the "Research" section of this website. I encourage their use by researchers interested in characteristic sorted portfolios and the cross-section of returns in any of these four markets. If used, please cite: Neumann, Jesse, A Bankruptcy Risk Factor (November 30, 2021). Available at SSRN: https://ssrn.com/abstract=3974750