  The electronic platform has been increasingly popular for executing large
corporate bond orders by asset managers, who in turn have to assess the quality
of their executions via Transaction Cost Analysis (TCA). One of the challenges
in TCA is to build a realistic benchmark for the expected transaction cost and
to characterize the price impact of each individual trade with given bond
characteristics and market conditions.
  Taking the viewpoint of retail investors, this paper presents an analytical
methodology for TCA of corporate bond trading. Our analysis is based on the
TRACE Enhanced dataset; and starts with estimating the initiator of a bond
transaction, followed by estimating the bid-ask spread and the mid-price
dynamics. With these estimations, the first part of our study is to identify
key features for corporate bonds and to compute the expected average trading
cost. This part is on the time scale of weekly transactions, and is by applying
and comparing several regularized regression models. The second part of our
study is using the estimated mid-price dynamics to investigate the amplitude of
its price impact and the decay pattern of individual bond transaction. This
part is on the time scale of each transaction of liquid corporate bonds, and is
by applying a transient impact model to estimate the price impact kernel using
a non-parametric method.
  Our benchmark model allows for identifying abnormal transactions and for
enhancing counter-party selections. A key discovery of our study is the price
impact asymmetry between customer-buy orders and consumer-sell orders.
