If you want to gain a better understanding of the liquidity premium and Roger Ibbotson’s research, you might find these video interviews useful.

Getting a Boost From Less-Liquid Stocks

Roger Ibbotson’s interview on Bloomberg TV: Money Moves with Deirdre Bolton

Roger Ibbotson was interviewed by Morningstar Strategist Nadia Papagiannis. In this conversation he explains the liquidity premium and how Zebra Capital incorporates it into an investment strategy.

Roger Ibbotson was interviewed by Morningstar’s Christine Benz on his research into the liquidity premium.