[en] n this paper we use a repeat-sales index methodology to construct US corporate bond price indexes. Using several performance tests, we show that this methodology provides superior index estimates. In particular when assets trade at infrequent and irregular intervals the repeat-sales index is superior to taking a simple price average. The methodology can readily be applied to any subsample of bonds based on a particular characteristic, such as the rating or the maturity. We further study the sensitivity of individual bond returns to systematic market risk as measured by a repeat-sales price index. Results indicate that variations in the price index are an important determinant of the cross-section of corporate bond returns.
