TY - JOUR T1 - Bond Liquidity Scores JF - The Journal of Fixed Income SP - 77 LP - 82 DO - 10.3905/jfi.2017.27.1.077 VL - 27 IS - 1 AU - Mohamed Ben Slimane AU - Marielle de Jong Y1 - 2017/06/30 UR - https://pm-research.com/content/27/1/77.abstract N2 - The authors estimate the market liquidity of bonds by means of a factor model. They build scores for an extended set of issues by associating reported bid-ask spreads directly to intrinsic bond characteristics. The scores are tested out-of-sample on a large database of executed trades. The scores can be used as a bond selection criterion in the portfolio construction processes, and can be instrumental for proactively managing the liquidity position of a fixed-income fund.TOPICS: Fixed income and structured finance, factor-based models, portfolio construction ER -