The Norwegian Government Pension Fund's Potential for Capturing Illiquidity Premiums
69 Pages Posted: 10 Oct 2013
Date Written: February 2013
Abstract
This paper surveys the recent literature on investing in illiquid assets. The paper takes a practical perspective and contains recommendations for the investment policy of a large sovereign wealth fund. We first summarize the theoretical literature on liquidity level and liquidity risk premiums. We then summarize 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.
Keywords: Investments, illiquid assets
JEL Classification: G11, G12, G23
Suggested Citation: Suggested Citation