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Capturing illiquidity premiums

This paper commissioned by the Norwegian Ministry of Finance investigates the possibilities for the Government Pension Fund Global (GPFG) to profit from liquidity premiums in  illiquid investments. It looks at the empirical evidence for the presence of liquidity effects in a broad range of asset classes: listed equities, corporate bonds, treasury and agency bonds, and alternative asset classes such as real estate and private equity.


The paper can be accessed here

The Norwegian Government Pension Fund’s potential for capturing illiquidity premiums