Universität zu Köln

Chesney, Marc and Kempf, Alexander (2012). The value of tradeability. Rev. Deriv. Res., 15 (3). S. 193 - 217. NEW YORK: SPRINGER. ISSN 1573-7144

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Abstract

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.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Chesney, Marc UNSPECIFIED UNSPECIFIED UNSPECIFIED Kempf, Alexander UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-482071
DOI:	10.1007/s11147-012-9074-0
Journal or Publication Title:	Rev. Deriv. Res.
Volume:	15
Number:	3
Page Range:	S. 193 - 217
Date:	2012
Publisher:	SPRINGER
Place of Publication:	NEW YORK
ISSN:	1573-7144
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language BID-ASK SPREAD; STOCK-PRICES; MARKET; LIQUIDITY; RISK Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/48207