haku: @author Liu, J. / yhteensä: 13
viite: 4 / 13
| Tekijä: | Kahl, M. Liu, J. Longstaff, F. A. |
| Otsikko: | Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? |
| Lehti: | Journal of Financial Economics
2003 : MAR, VOL. 67:3, p. 385-410 |
| Asiasana: | Stock markets Shareholders Valuation Portfolio management |
| Kieli: | eng |
| Tiivistelmä: | Many firms have stockholders who face severe restrictions on their ability to sell shares and diversify the risk of their personal wealth. The authors study the costs of these liquidity restrictions on stockholders using a continuous-time portfolio choice framework. These restrictions have major effects on the optimal investment and consumption strategies because of the need to hedge the illiquid stock position and smooth consumption in anticipation of the eventuial lapse of the restrictions. |
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