Priced risk in corporate bonds replication package

The code in this replication package generates Tables 1 to 6 and Figures 1 to 2 in the paper titled “Priced risk in corporate bonds,” by Dickerson, Mueller, and Robotti (2023, henceforth DMR). The code to generate Tables 1 to 5 and Figures 1 to 2 are written in Matlab. Table 6 is generated with Python only. The file RunAllResults.m, the ‘one-push-button’, takes about 2 minutes to execute, and will produce all of the results in the paper except for Table 6. These results are printed to the Matlab console, saved as AllTablesReport and also stored in Matlab arrays such that they can be exported to other file formats. The results for Table 6 are produced by executing the Python script Table6.py. The authors have set up a dedicated replication/companion website (Open Source Bond Asset Pricing) which can be accessed here: https://openbondassetpricing.com/. This README file guides the user through replicating the results of the paper as well as constructing the main database from scratch.