RT Journal Article
SR Electronic
T1 Measuring a Premium for Liquidity Risk
JF The Journal of Private Equity
FD Institutional Investor Journals
SP 6
OP 16
DO 10.3905/JPE.2010.13.2.006
VO 13
IS 2
A1 Mark J.P Anson
YR 2010
UL https://pm-research.com/content/13/2/6.abstract
AB 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