PT  - JOURNAL ARTICLE
AU  - Mark J.P Anson
TI  - Measuring a Premium for Liquidity Risk
AID  - 10.3905/JPE.2010.13.2.006
DP  - 2010 Feb 28
TA  - The Journal of Private Equity
PG  - 6--16
VI  - 13
IP  - 2
4099  - https://pm-research.com/content/13/2/6.short
4100  - https://pm-research.com/content/13/2/6.full
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