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

Author: Matthias Kahl; Jun Liu; Francis A Longstaff; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©2002.
Series: Working paper series (National Bureau of Economic Research), no. 8969.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: 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  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Matthias Kahl; Jun Liu; Francis A Longstaff; National Bureau of Economic Research.
OCLC Number: 50262035
Notes: "June 2002."
Description: 1 online resource (19, [13] pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 8969.
Other Titles: How valuable is stock to a stockholder who is restricted from selling it?
Responsibility: Matthias Kahl, Jun Liu, Francis A. Longstaff.

Abstract:

Abstract: 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.

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