TY - JOUR T1 - Measuring a Premium for Liquidity Risk JF - The Journal of Private Equity SP - 6 LP - 16 DO - 10.3905/JPE.2010.13.2.006 VL - 13 IS - 2 AU - Mark J.P Anson Y1 - 2010/02/28 UR - https://pm-research.com/content/13/2/6.abstract N2 - 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 ER -