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The chief investment officer (CIO) of a large university endowment fund is considering whether to add illiquid assets to the university's investment portfolio. Before making a decision, the CIO asks an investment analyst to review illiquidity risk premiums across and within asset categories and to prepare a report with findings. Which of the following statements is correct for the analyst to include in the report?
A
Corporate bonds that trade less frequently or have larger bid-ask spreads have lower returns than more liquid corporate bonds.
B
Expected returns of illiquid assets can be overstated due to measurement biases.
C
US Treasury instruments are the only assets that do not exhibit illiquidity risk premium.
D
Hedge funds that do not place restrictions on withdrawals exhibit higher returns.