Bond Price Data and Bond Market Liquidity
通过对比CRSP政府债券价格数据与Shearson Lehman Brothers债券数据库，发现两者差异主要源于流动性驱动的价格噪音，并检验了基于债券特征的数据过滤方法对减少噪音、保持均值零性质的效果。
This paper attempts to characterize liquidity-driven noise in the CRSP Government Bond price data set by comparing these price records to the independently collected Shearson Lehman Brothers (SLB) Bond Data Base. We argue that discrepancies between the data sets are due largely to liquidity-driven price errors, and we show that they are systematically related to certain bond characteristics. On the other hand, these discrepancies are small in magnitude and are approximately mean zero. We examine data filters based on observable bond characteristics and show that these filters can reduce the noise in price records while preserving their mean zero nature. The effects of these errors on performance evaluation are investigated by comparing results using filtered and unfiltered data.