medium · FRM Part 2 Risk & Investment Management
According to empirical evidence, where is the illiquidity premium most robustly observed?
- Across broad asset classes, comparing private equity aggregate returns to public market indices.
- Within specific asset classes, such as the spread between on-the-run and off-the-run Treasuries.
- In large-cap, high-frequency traded stocks compared to micro-cap stocks.
- In the comparison between government bonds and high-yield corporate bonds.
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