Small note: it’s Cliff Asness from AQR who came up with the illiquidity “premium,” though Levine does report it a lot. This matters a bit bc AQR is a large hedge fund that trades in liquids and therefore is marked frequently… there’s a bit of self-serving bias here (although may still be true).
In some cases you could see it being positive not having your stock price drop everytime the Fed announces a new rate increase or jump everytime they don't (or etc etc with other events) if your primary goal is to continue at a steady pace to achieve some goal.