We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between … bear markets, which reduce their diversification benefits, the ex-ante knowledge of a lock-up in an asset class that offers …-ante. By using dynamic multiperiod portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line as …

expiration of the equity lock-up period and enhanced discretionary accruals after the expiration of the equity lock-up period …

expiration of the equity lock-up period and enhanced discretionary accruals after the expiration of the equity lock-up period …