Expected returns of illiquid asset classes are often overstated due to measurement biases such as survivorship bias, selection bias, and infrequent appraisal-based pricing, which can also artificially smooth returns and understate volatility. Option A is incorrect because less liquid corporate bonds command a liquidity premium, meaning they should offer higher expected returns to compensate for the risk. Option C is incorrect because even highly liquid markets like US Treasuries exhibit illiquidity premiums (for example, the well-documented yield spread between highly liquid on-the-run and less liquid off-the-run bonds). Option D is incorrect because hedge funds with withdrawal restrictions (like lock-up periods) generally offer higher expected returns to compensate investors for tying up their capital (a form of illiquidity premium).