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Empirical estimation of liquidity and illiquidity premia is complicated in several ways. Which of the following statements is incorrect regarding the challenges of empirical estimation? A. Liquidity is not directly observable and must be inferred or proxied. B. Liquidity and the illiquidity premia may change over time due to micro and macroeconomic factors. C. Liquidity risk factors that are influenced by liquidity issues need to be controlled in order to more accurately measure the impact of illiquidity. D. Liquidity may correlate with other risk factors, making it difficult to isolate. |