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 transaction costs often indicate changing trade sizes rather than changing liquidity. We combine full-sample information for the size-cost relation with individual transaction data to eliminate such measurement problems. We find that size-adapted measures make a difference when analyzing liquidity dynamics in the U.S. corporate bond market, liquidity differences between bonds, and the asset pricing implications of liquidity.

我们为债券市场制定新的流动性措施。现有措施受到两种影响的结合。首先，场外交易市场的交易成本很大程度上取决于交易规模。其次，许多债券的交易量差异很大。因此，平均交易成本的变化通常表明交易规模的变化而不是流动性的变化。我们将规模成本关系的全样本信息与单个交易数据相结合，以消除此类测量问题。我们发现，在分析美国公司债券市场的流动性动态、债券之间的流动性差异以及流动性对资产定价的影响时，适应规模的措施会产生影响。