| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20589 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w20589 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 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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