In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market. We find that high-frequency measures based on...

We introduce an approach to forecast individual bond liquidity and apply it to the U.S. corporate bond market. Our model combines three dynamic prediction models to get the most accurate estimate for future bond liquidity. We compare the new prediction methodology with the literature's current...

Mutual fund families are increasingly assigning traders to manage corporate bond mutual funds. Using this setting to study the role of traders in investment management, we document that trader managers identify and exploit short-term trading opportunities at lower transaction costs. These skills...