The effect of liquidity on non-marketable securities
Menachem Abudy (),
Hadar Binsky and
Alon Raviv ()
Finance Research Letters, 2018, vol. 26, issue C, 139-144
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.
Keywords: Non-marketability discount; Illiquidity; Thin-traded securities (search for similar items in EconPapers)
JEL-codes: G01 G12 G13 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:139-144
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