Can large long-term investors capture illiquidity premiums

Research output: Contribution to journalArticleScientificpeer-review

420 Downloads (Pure)


In this paper we perform a literature study to assess whether large long-term investors can benefit from liquidity premiums in different asset classes. We both describe the theoretical predictions on liquidity premiums and portfolio choice with illiquidity, as well as empirical evidence on liquidity premiums. We document that expected liquidity premiums in stocks have diminished in recent years and are hard to capture for large investors. In corporate and government bond markets there are more opportunities to exploit liquidity premiums. The evidence on liquidity premiums in alternative investment classes is scarce.
Original languageEnglish
Pages (from-to)34-60
JournalBankers, Markets and Investors
Issue numberJanuary-February
Publication statusPublished - 2015


Dive into the research topics of 'Can large long-term investors capture illiquidity premiums'. Together they form a unique fingerprint.

Cite this