This thesis investigates the relationship between employee sentiment, proxied by Glassdoor reviews and ratings, and excessive returns on corresponding bonds. While sentiment analysis is well studied for probing into how companies are perceived by investors or the general public, it is a novel idea to exploit sentiment of employees, which enables…

This repo contains supplementary material to "Greenness Demand for US Corporate Bonds".

This code compiles the Dick-Nielsen (2012) filters to clean the Enhanced TRACE data set. It only compromises data cleaning steps. I did not provide parts where he suggests removing agency transactions.