The correct statement for the analyst to include in the report is B: "Expected returns of illiquid assets can be overstated due to measurement biases." This is because illiquid assets may have infrequent trading, survivorship, and reporting biases, which can lead to an overestimation of their expected returns. The other options are incorrect for the following reasons:

• Option A is incorrect because corporate bonds that trade less frequently or have larger bid-ask spreads actually have higher returns, not lower, as they carry more risk and investors require a premium for holding less liquid assets.
• Option C is incorrect because even U.S. Treasury instruments can exhibit liquidity risk premiums, particularly between on-the-run and off-the-run bonds, which have different levels of liquidity.
• Option D is incorrect because hedge funds that place restrictions on investor withdrawals have shown higher returns, contrary to the statement in the option. These restrictions can help manage liquidity and reduce the impact of large redemptions on the fund's performance.

The learning objective of comparing illiquidity risk premiums across and within asset categories is important for understanding the trade-offs between liquidity and expected returns in an investment portfolio. The reference to Andrew Ang's "Asset Management: A Systematic Approach to Factor Investing" provides a comprehensive discussion on illiquid assets in Chapter 13.