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Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it? / Matthias Kahl, Jun Liu, Francis A. Longstaff.
- Format:
- Book
- Author/Creator:
- Kahl, Matthias.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w8969.
- NBER working paper series no. w8969
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Paper millionaires
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Summary:
- 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.
- Notes:
- Print version record
- May 2002.
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