PT - JOURNAL ARTICLE AU - Mohamed Ben Slimane AU - Marielle de Jong TI - Bond Liquidity Scores AID - 10.3905/jfi.2017.27.1.077 DP - 2017 Jun 30 TA - The Journal of Fixed Income PG - 77--82 VI - 27 IP - 1 4099 - https://pm-research.com/content/27/1/77.short 4100 - https://pm-research.com/content/27/1/77.full AB - 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