We develop new liquidity measures for bond markets. Existing measures suffer from the combination of two effects. First, transaction costs in OTC markets strongly depend on trade size. Second, many bonds trade only scarcely with strongly differing trading volumes. Therefore, changes in average...

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...