The Norwegian Government Pension Fund's Potential for Capturing Illiquidity Premiums

69 Pages Posted: 10 Oct 2013

See all articles by Frank De Jong

Frank De Jong

Tilburg University - Department of Finance

Joost Driessen

Tilburg University - Tilburg University School of Economics and Management; Tilburg University - Center for Economic Research (CentER)

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

De Jong, Frank and Driessen, Joost, The Norwegian Government Pension Fund's Potential for Capturing Illiquidity Premiums (February 2013). Available at SSRN: https://ssrn.com/abstract=2337939 or http://dx.doi.org/10.2139/ssrn.2337939

Frank De Jong (Contact Author)

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Joost Driessen

Tilburg University - Tilburg University School of Economics and Management ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Tilburg University - Center for Economic Research (CentER) ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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