18. Liquidity factor and illiquidity premium

  1. Antti Ilmanen

Published Online: 25 MAY 2012

DOI: 10.1002/9781118467190.ch18

Expected Returns: An Investor's Guide to Harvesting Market Rewards

Expected Returns: An Investor's Guide to Harvesting Market Rewards

How to Cite

Ilmanen, A. (2011) Liquidity factor and illiquidity premium, in Expected Returns: An Investor's Guide to Harvesting Market Rewards, John Wiley & Sons, Ltd., Chichester, West Sussex, UK. doi: 10.1002/9781118467190.ch18

Publication History

  1. Published Online: 25 MAY 2012
  2. Published Print: 21 MAR 2011

ISBN Information

Print ISBN: 9781119990727

Online ISBN: 9781118467190

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Keywords:

  • illiquidity premium;
  • market players;
  • non-government bonds;
  • privately traded assets;
  • investors

Summary

This chapter contains sections titled:

  • Introduction

  • Factor history: how does liquidity itself vary over time?

  • Historical evidence on average liquidity-related premia

  • Time-varying illiquidity premia

  • Note