G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20589
来源IDWorking Paper 20589
Valuing Thinly-Traded Assets
Francis Longstaff
发表日期2014-10-20
出版年2014
语种英语
摘要We model illiquidity as a restriction on the stopping rules investors can follow in selling assets, and apply this framework to the valuation of thinly-traded investments. We find that discounts for illiquidity can be surprisingly large, approaching 30 to 50 percent in some cases. Immediacy plays a unique role and is valued much more than ongoing liquidity. We show that investors in illiquid enterprises have strong incentives to increase dividends and other cash payouts, thereby introducing potential agency conflicts. We also find that illiquidity and volatility are fundamentally entangled in their effects on asset prices. This aspect may help explain why some assets are viewed as inherently more liquid than others and why liquidity concerns are heightened during financial crises.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance
URLhttps://www.nber.org/papers/w20589
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/578263
推荐引用方式
GB/T 7714
Francis Longstaff. Valuing Thinly-Traded Assets. 2014.
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