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Article

Measuring a Premium for Liquidity Risk

Mark J.P Anson
The Journal of Private Equity Spring 2010, 13 (2) 6-16; DOI: https://doi.org/10.3905/JPE.2010.13.2.006
Mark J.P Anson
is president and executive director of Investment Services at Nuveen Investments in Chicago, IL.
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Abstract

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.

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The Journal of Private Equity: 13 (2)
The Journal of Private Equity
Vol. 13, Issue 2
Spring 2010
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Measuring a Premium for Liquidity Risk
Mark J.P Anson
The Journal of Private Equity Feb 2010, 13 (2) 6-16; DOI: 10.3905/JPE.2010.13.2.006

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Measuring a Premium for Liquidity Risk
Mark J.P Anson
The Journal of Private Equity Feb 2010, 13 (2) 6-16; DOI: 10.3905/JPE.2010.13.2.006
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