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 paper on the "Research" section of this website titled "A Bankruptcy Risk Factor". 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
The factors have been extended through December 2021, with the exception of the bond factor because the enhanced TRACE data necessary to generate bond returns is not yet available through December 2021. This factor will be updated once the data becomes available.
Bankruptcy Equity Factor Augmented Cumulative Returns 1980 - 2019