Zoekopdracht:
faculteit: "FEB" en publicatiejaar: "2010"
| Auteurs | R. Albuquerque, E. Schroth | | Titel | Search frictions and the liquidity of large blocks of shares |
| Uitgever | Boston University / University of Amsterdam |
| Plaats | Boston, MA / Amsterdam |
| Jaar | 2010 |
| Pagina's | 54 |
| Faculteit | Faculteit Economie en Bedrijfskunde |
| Instituut/afd. | FEB: Amsterdam Business School Research Institute (ABS-RI) |
| Samenvatting | This paper investigates empirically the illiquidity of majority blocks of shares in the context of a search model of block trades. The search model incorporates two aspects of illiquidity, or search frictions. First, upon a liquidity shock, the incumbent blockholder may be forced to sell to a less efficient buyer. Second, a block liquidity sale may occur at a fire sale price. We conduct a structural estimation of the model using data on majority block trades in the U.S. The structural estimation is particularly useful in this exercise as it allows us to evaluate the counterfactual price that would result absent liquidity shocks. Our results help shed light into the size of the marketability discount, the control discount and an illiquidity-spillover discount we identify, and on the determinants of aggregate liquidity. |
| Soort document | Rapport |
| Document finder | 
|
Gebruik dit adres om naar deze pagina te linken: http://dare.uva.nl/record/416656
Vraag/opmerking over dit recordMail aan een collega
Toevoegen aan bewaarset
|
vorige
