Liquidity risk is a separate risk distinct from the economic fundamentals that determine valuations in the stock and bond markets. It is a risk that arises from investing in an asset that cannot be sold in a timely manner, or can only be sold at a large discount. However, measuring a consistent premium for liquidity risk across asset classes has not been accomplished. This article provides a framework for measuring liquidity risk and calculating a premium for that risk. TOPICS:Private equity, analysis of individual factors/risk premia, risk management, statistical methods
No takes yet. Share an insight, caveat, or question.
Mark J. P. Anson (2010) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: