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We model illiquidity for a restriction about the stopping policies traders can adhere to in marketing assets, and implement this framework to the valuation of thinly traded investments. We notice that bargains for illiquidity may be surprisingly large, approaching thirty%–fifty% sometimes. Immediacy plays a singular role and is valued Considerably over ongoing liquidity. We demonstrate that traders in illiquid enterprises .
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We provide proof supporting Rubinstein's (1973) product that if returns aren't usual, measuring threat demands far more than just measuring covariance. increased-get systematic comoments really should be essential to possibility-averse traders who are worried about the acute outcomes of their investments. Our paper displays that the Fama-French elements [SMB (return on little shares considerably less the return on massive .
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