Retrieving "Liquidity Risk Premium" from the archives
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Risk Premiums
Linked via "liquidity concerns"
Risk premiums are the excess returns that investors demand to compensate them for bearing specific, quantifiable non-systematic risks associated with an investment over the risk-free rate of return. While often conflated with the equity risk premium, the concept is broader, encompassing compensation for liquidity concerns ($[1]$).
Theoretical Foundations