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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | The value of tradeability |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Review of Derivatives Research |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 1380-6645 |
| Volume | 15 |
| Number | 3 |
| Page Range | 193 - 216 |
| Date | 2012 |
| Abstract Text | This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mispricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is. Uncertainty increases the value of tradeability, no matter whether the uncertainty results from noise trading or from new information about the fundamental value of the stock. The value of tradeability is the larger, the longer the illiquid stock cannot be traded and the more trading dates the liquid stock offers. |
| Digital Object Identifier | 10.1007/s11147-012-9074-0 |
| Other Identification Number | merlin-id:3849 |
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