I know that when we have to calculate E(R) using Singer-Terhaar model, first we calculate the ERP using the model and then we add the risk free rate. Now my doubt is when also give us iliquidity premium, should we add this to the Singer-Terhaar model? or we calculate as usual and then when we calculate the E(R) there we add the illiquidity?

i think you have to add any other premiums that are explicitly given on top of the calculation you get from the S-T model. However I havent seen a single question that ask you to do this so I’d be surprised if its in the exam

There is one in CFAI where they add at the end not in the model and in one mock that I did, they added to the model… so I don’t know what the correct form is