Market-wide liquidity risk premium estimates soar post-2008 financial crisis.
The article "Liquidity Risk After 20 Years" looks at how risky it is to trade assets that are not easily bought or sold. Two studies replicated a previous study and found that the risk of trading these assets has increased over time, especially during the 2008 financial crisis. The researchers also discussed when to use different measures of liquidity and how to make better estimates of the risk involved in trading these assets.