Before revision:  Given the limited liquidity of corporate bonds which are traded few times daily, a statistical model is the only way to benchmark effective costs. It brings focused attention of the dealing desk of an institutional investor on the most costly trades, and enables identifying and improving business practices such as the market timing for selection counterparties. Unlike existing literature which focuses on general measurements using OLS, this paper takes the viewpoint of a given investor, and provides an analytical approach to establish a benchmark for transaction cost analysis in corporate bond tradings. Regularized methods are used to improve the selection of explanatory variables, as fewer variables provide easier analytics from a business perspective. This benchmark is constructed in two steps .
After revision:  Given the limited liquidity of corporate bonds which are traded few times daily, a statistical model as a benchmark for effective cost and a non-parametric model for the price impact kernel. Our TCA analysis is conducted based on the TRACE Enhanced dataset and consists of four steps in two different time scales .