Alex Dickerson

Alex Dickerson is affiliated with the School of Banking & Finance at the University of New South Wales (UNSW) in Sydney, Australia. He earned his PhD in Finance & Econometrics in 2023 from Warwick Business School and has previously earned two masters degrees in finance and risk management with distinction from the University of Warwick and the University of Cape Town respectively. His research focus is empirical asset pricing, with particular interest in corporate bonds. He has published in leading academic journals such as the Journal of Financial Economics and the Journal of Banking and Finance.

Referee Service: Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, Journal of Empirical Finance, Journal of Banking and Finance, Review of Asset Pricing Studies, Financial Analysts Journal, Review of Finance.

Open Source Bond Asset Pricing: 

🚀 NEW: TRACE data processing pipeline. 

🔗Stage 0: now in public beta. 💻 Code: trace-data-pipeline GitHub repository.

• ⚡Process intraday TRACE transaction data, eliminate errors and build a robust daily pricing panel.

• ✅Choose among many filtering choices, from trading volume, bond type to parameters governing error corrections - build your database with filtering that you think is reasonable / defensible.

• Download detailed (>400-page) Enhanced TRACE transaction-level data reports here.

• Download the 144A TRACE transaction-level data report here.

• Detailed documentation on the transaction level price decimal corrector and error eliminator algorithms coming soon. All code publicly available on the GitHub.

• 🔗 Contact alexander.dickerson1@unsw.edu.au for comments/suggestions.

Industry Experience: Economic consultant for Aaro Capital. Prior experience in building systematic equity factors for Salient Quants. Implementation analyst for equity passive index funds, 10x Investments.

News:

October 2025: The Risk and Return of Stocks and Bonds wins best paper award at the 2025 Melbourne Asset Pricing Meeting

November 2024. The Low Frequency Trading Arms Race: Machines Versus Delays / Factor Investing With Delays (new title), wins runner-up best paper award at the 2024 13th FIRN Annual Conference.

July 2024. Priced Risk in Corporate Bonds, wins the Fama-DFA 2024 best paper award (first prize) for papers published in the Journal of Financial Economics.

June 2024. The Low Frequency Trading Arms Race: Machines Versus Delays, wins best paper award at the 2024 Wellington Finance Summit.