Damodaran on Valuation_ Security Analysis for Investment and Corporate Finance ( PDFDrive )
In conventional asset pricing models, the required rate of returnforanassetisafunctionofitsexposuretomarketrisk. Thus,inthecapit ...
economic recessions) should be viewed much more negatively(witharesultinghigherexpectedreturn)thanan asset that is illiquid when ...
this finding by showing a positive relationship between returns and spreads for NASDAQ stocks. 27 Other studieshaveused tradingv ...
explaindifferencesinstockreturns,donotactasproxiesfor illiquidity. Insummary,both thetheoreticalmodelsand theempirical results s ...
estimated using this maximum price should be the outer bound for the value of illiquidity. 33 Using this approach, Longstaff est ...
asapercentoffirmvalue,willbegreaterformorevolatile assets and willincrease with the length of the period for which trading is re ...
annualized basisthanthe yieldon themore liquid Treasury bill, a difference that they attributed to illiquidity. A subsequent stu ...
Subordinated bonds. A study of 211 subordinated bondsissuedby 22 largebanksintheUnitedStates concluded that more illiquidbonds ...
tradingTreasurybondsorbills.Itfollowsthereforethatsome oftheriskpremiumattributedtoequityhastoreflectthese additional transactio ...
CoxandPetersen(1994)examinedU.S.stocksthat hadone-daypricedeclinesofmorethan 10 percent andthesubsequentpricereversalthedayafte ...
illiquidity, smaller and more distressed companies (whichtendtotradeatlowprice-to-bookratios)are more illiquid than the rest of ...
prevailing market price, which is observable, and the differencecanbe viewedas adiscount forilliquidity. The resultsoftwooftheea ...
whom equity is privately placed may be providing other services to the firm, for which the discount is compensation. One way of ...
are also closely held. Thus, the discounts estimated from these small samples have to be considered with caution. Initial Public ...
Williamette Associates extended this study to look at transactionsinthethreeyearspriortoinitialpublicofferings, adjustedforchang ...
Thesizeofthediscountisstrikinginbothofthesestudies.It isdifficulttoseewhyaninvestorwouldbewillingtoaccepta 40 percent discounton ...
auctionand privateplacementpricesoftheRISsharesand conclude that the discount on the latter is 78 percent for auctions and almos ...
59 Infact,HullandWhite(2004)bringthistendencytoward early exercise into the valuation of employee options by assumingthatexercis ...
valuebusinesses(andthereturnstheyearn)atdifferentstages of the life cycle. 62 Theyconcludethattheprivatecompanydiscountisonly 11 ...
Both the theory and the empirical evidence suggest that illiquiditymattersand thatinvestors attachalowerpriceto assetsthataremor ...
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