RT Journal Article SR Electronic T1 Bond Liquidity Scores JF The Journal of Fixed Income FD Institutional Investor Journals SP 77 OP 82 DO 10.3905/jfi.2017.27.1.077 VO 27 IS 1 A1 Mohamed Ben Slimane A1 Marielle de Jong YR 2017 UL https://pm-research.com/content/27/1/77.abstract 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