Damodaran on Valuation_ Security Analysis for Investment and Corporate Finance ( PDFDrive )
Determinants of the Price Impact Lookingattheevidence,thevariablesthatdeterminetheprice impactoftradingseemtobethesamevariablest ...
Opportunity Cost of Waiting Thefinalcomponentoftradingcostsistheopportunitycost ofwaiting.Aninvestorcouldreducethebid-askspreada ...
muchlargerwhenthestrategyistobuy ontherumors (or information) of a possible takeover than it would be in a strategy of buying lo ...
gathering.Itwillbelessofanissueforlong-terminvestment strategiesbased uponpublicinformationand forcontrarian strategies. Costs o ...
oftenneedthehelpofexpertstojudgevalue.This adds to the cost in the process. Thetradingcostsassociatedwithbuyingandsellinga priv ...
costs,thuscreatingadiscountonvalue. Inthesecond, the requiredrateofreturnon anasset isadjustedtoreflectits illiquidity, with hig ...
arguesthattheeffectofchangesintransactionscostsonasset prices is much smaller than estimated by Amihud and Mendelsonbecauseinves ...
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 ...
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