Dataframe: P01:greenwood_hanson_hys_processed_series - Greenwood-Hanson High-Yield Share

Overview

• File: _data/processed_data/greenwood_hanson_hys.parquet

• Source: Spliced from greenwood_hanson_hys (1926-2008) and mergent_fisd_data (2009 onward).

• Generated by: pull_greenwood_hanson.py

• Frequency: Annual, continuous 1926-present

• Index: year

Column Dictionary

Column	Description
hy_share	Annual high-yield share, spliced from the published Greenwood-Hanson (2013) series through 2008, followed by the Mergent FISD reconstruction from 2009 onward.
ln_hy_share	Natural log of hy_share. Used as ln(HYS)_{t-2}, a first-step predictor of changes in the Baa-Treasury credit spread in Lopez-Salido, Stein, and Zakrajsek (2017).
source	Label identifying which underlying series each year’s value comes from: ‘gh2013’ (published Greenwood-Hanson historical series) or ‘fisd’ (Mergent FISD reconstruction).

DataFrame Glimpse

Rows: 97
Columns: 4
$ hy_share    <f64> 0.14743240762374932
$ ln_hy_share <f64> -1.914385461630749
$ source      <str> 'fisd'
$ year        <i32> 2025

Dataframe Manifest

Dataframe Name	Greenwood-Hanson High-Yield Share
Dataframe ID	greenwood_hanson_hys_processed_series
Sources	Greenwood & Hanson (2013), “Issuer Quality and Corporate Bond Returns,” Review of Financial Studies 26(6), 1483–1525, Review of Financial Studies, Mergent FISD
Providers	Greenwood & Hanson, Review of Financial Studies, WRDS
Provider Links	https://academic.oup.com/rfs/article-abstract/26/6/1483/1595232, https://wrds-www.wharton.upenn.edu/
Tags	Processed Data, Hys, Greenwood, Hanson, High Yield Share
Access Types	Public,WRDS Subscription
How is data pulled?	HTTP download via Python requests (Excel workbook), WRDS Python API
Data available up to (min)	N/A
Data available up to (max)	N/A
Dataframe Path	C:\Users\fraff\OneDrive\Documentos\UChicago\FINM_32900_Full_Stack_Quantitative_Finance\Project\p03_lopez_salido_stein_zakrajsek_2017_data\processed_data\greenwood_hanson_hys.parquet

Linked Charts:

• P01:summary_statistics_hy_share

Pipeline Manifest

Pipeline Name	Credit-Market Sentiment and the Business Cycle
Pipeline ID	P01
Maintainer	Fernando Raffo, Bangjie Xu
Contributors	Fernando Raffo, Bangjie Xu
Repository	fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-08-19 22:04:54
OS Compatibility	Windows, Linux, MacOS
Linked Dataframes	P01:fred_macroeconomic_variables P01:shiller_market_variables P01:greenwood_hanson_hys P01:mergent_fisd_bond_data P01:fred_processed_monthly_series P01:fred_processed_annual_series P01:shiller_processed_annual_series P01:greenwood_hanson_hys_processed_series