EconStor >
Universität zu Köln >
Centre for Financial Research (CFR), Universität Köln >
CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/41377
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorChesney, Marcen_US
dc.contributor.authorKempf, Alexanderen_US
dc.date.accessioned2010-10-19en_US
dc.date.accessioned2010-10-28T14:42:47Z-
dc.date.availablestart=2010-10-28T14:42:47Z; end=2013-02-13-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/41377-
dc.description.abstractThis 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 mis-pricings 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 tradeablity, 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 10-11en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordTradeabilityen_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordOption Pricingen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwBewertungen_US
dc.subject.stwMarkteffizienzen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwRisikoen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwTheorieen_US
dc.titleThe value of tradeabilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn637045580en_US
dc.relation.isreplacedbyhttp://hdl.handle.net/10419/70123-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1011-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

Files in This Item:

There are no files associated with this item.

No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.