The Value of Control and the Costs of Illiquidity

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Schroth, Enrique
• 署名单位: Boston University; Universidade Catolica Portuguesa; City St Georges, University of London
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12207
• 发表日期: 2015
• 页码: 1405-1455
• 关键词: asset fire sales; liquidation values; large shareholders; market liquidity; private benefits; OWNERSHIP; equilibrium; blocks; search; STOCK

摘要

We develop a search model of block trades that values the illiquidity of controlling stakes. The model considers several dimensions of illiquidity. First, following a liquidity shock, the controlling blockholder is forced to sell, possibly to a less efficient acquirer. Second, this sale may occur at a fire sale price. Third, absent a liquidity shock, a trade occurs only if a potential buyer arrives. Using a structural estimation approach and U.S. data on trades of controlling blocks of public corporations, we estimate the value of control, blockholders' marketability discount, and dispersed shareholders' illiquidity-spillover discount.