Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?

• 成果类型: Article
• 署名作者: Kahl, M; Liu, J; Longstaff, FA
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00258-1
• 发表日期: 2003
• 页码: 385-410
• 关键词: restricted stock; valuation; illiquidity; lockup restrictions; portfolio choice

摘要

Many firms have stockholders who face severe restrictions on their ability to sell their shares and diversify the risk of their personal wealth. We 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 eventual lapse of the restrictions. These results provide a number of important insights about the effects of illiquidity in financial markets. (C) 2002 Elsevier Science B.V. All rights reserved.