Dataframe: P01:mergent_fisd_bond_data - Mergent FISD High-Yield Share Data (Raw FISD Reconstruction, 1980s-present)

Contents

Dataframe: `P01:mergent_fisd_bond_data` - Mergent FISD High-Yield Share Data (Raw FISD Reconstruction, 1980s-present)#

Overview#

File: _data/raw_data/greenwood_hanson_hys_fisd.parquet
Source: Mergent FISD (Fixed Income Securities Database), via WRDS
Pulled by: pull_greenwood_hanson.py
Frequency: Annual, effectively from the early 1980s onward
Index: year

Column Dictionary#

Column	Description
hy_issuance	Total face amount of nonfinancial U.S. corporate bonds issued in the year that are rated below investment grade (high yield), reconstructed from Mergent FISD via WRDS.
total_issuance	Total face amount of all rated nonfinancial U.S. corporate bonds issued in the year, reconstructed from Mergent FISD via WRDS.
n_issues	Number of bond issues underlying the year’s `total_issuance`; useful for screening out thin early years, e.g. `df.loc[df.n_issues >= 25]`.
hy_share	High-yield share for the year, computed as `hy_issuance / total_issuance`.
ln_hy_share	Natural log of `hy_share` (NaN when `hy_share` is 0).

DataFrame Glimpse#

Rows: 80
Columns: 6
$ hy_issuance    <f64> 135685362.25
$ total_issuance <f64> 920322501.931
$ n_issues       <i64> 1517
$ hy_share       <f64> 0.14743240762374932
$ ln_hy_share    <f64> -1.914385461630749
$ year           <i32> 2025

Dataframe Manifest#

Dataframe Name	Mergent FISD High-Yield Share Data (Raw FISD Reconstruction, 1980s-present)
Dataframe ID	mergent_fisd_bond_data
Sources	Mergent FISD
Providers	WRDS
Provider Links	https://wrds-www.wharton.upenn.edu/
Tags	Raw Data, Hys, Fisd, High Yield Share, Wrds, Mergent
Access Types	WRDS Subscription
How is data pulled?	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\raw_data\greenwood_hanson_hys_fisd.parquet

Linked Charts:

None

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