TY - JOUR
T1 - The effect of liquidity on non-marketable securities
AU - (Meni) Abudy, Menachem
AU - Binsky, Hadar
AU - Raviv, Alon
N1 - Publisher Copyright:
© 2018 Elsevier Inc.
PY - 2018/9
Y1 - 2018/9
N2 - We generalize the prevailing theoretical models that estimate the discount on securities for lack of marketability, by considering the discrete trading frequency of the securities. The generalization shows that accounting for the illiquidity of securities may significantly reduce their non-marketability discount. Further, the method reconciles the approaches of Longstaff (1995) and Finnerty (2012a), which are special solutions of our method.
AB - We generalize the prevailing theoretical models that estimate the discount on securities for lack of marketability, by considering the discrete trading frequency of the securities. The generalization shows that accounting for the illiquidity of securities may significantly reduce their non-marketability discount. Further, the method reconciles the approaches of Longstaff (1995) and Finnerty (2012a), which are special solutions of our method.
KW - Illiquidity
KW - Non-marketability discount
KW - Thin-traded securities
UR - http://www.scopus.com/inward/record.url?scp=85041135998&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2017.12.017
DO - 10.1016/j.frl.2017.12.017
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AN - SCOPUS:85041135998
SN - 1544-6123
VL - 26
SP - 139
EP - 144
JO - Finance Research Letters
JF - Finance Research Letters
ER -