The study shows that the ease of buying and selling corporate bonds affects their returns. When the market is down, it costs more to sell bonds but less to buy them. This difference in costs creates a new measure of bond liquidity that includes a one-sided aspect. Changes in overall bond liquidity explain a big part of why bond returns go up and down over time. This new measure of liquidity also predicts a consistent extra return on bonds, even after considering other factors like credit risk and interest rates.