Overview

This web site contains data and codes related to pseudo firms and pseudo credit spreads. Data on this website is intended solely for academic research.

Data used in Culp, Nozawa, Veronesi (2018, AER)

1. Option-Based Pseudo Credit Spread Indices (see Figure 4 in Culp, Nozawa, Veronesi (2018, AER))
2. Dataset used in Culp, Nozawa, and Veronesi (2018, AER) (paper)
3. Data for SPX-Based Example (Figure 1 in Culp, Nozawa, Veronesi (2018, AER))

Data updates (see charts)

1. Option-Based Credit Spread Indices  

Codes

1. Replication codes for Culp, Nozawa, and Veronesi (2018, AER)