While there is good theory supporting the fact that investors should be paid an excess return for taking on liquidity risk, and there is evidence from certain asset classes that such a return premium is achievable, the unlisted infrastructure market may have underlying characteristics which make this premium far more difficult to achieve.  In this article, wel contend that in the case of private market infrastructure, a combination of investor preferences which favour (rather than avoid) illiquidity coupled with a relatively limited opportunity set, leads to a market in which the illiquidity pre­mium has all but evaporated.

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