Q-56. This data is displayed below as a scatterplot where the y-axis is the long-run average return of the asset class and the x-axis is an index of illiquidity. A higher index (ie, to the right) implies less liquidity. For example, the venture capital as an asset class is assigned to the least liquid (most illiquid) asset class but it also plots the highest long-run average return.

[Image blocked: Asset class returns versus illiquidity]

In regard to the illiquidity risk premium, which of the following statements is TRUE?