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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Chesney, Marc | | en_US |
| dc.contributor.author | | Kempf, Alexander | | en_US |
| dc.date.accessioned | | 2010-10-19 | | en_US |
| dc.date.accessioned | | 2010-10-28T14:42:47Z | | - |
| dc.date.available | | start=2010-10-28T14:42:47Z; end=2013-02-13 | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/41377 | | - |
| dc.description.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 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.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR working paper 10-11 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Tradeability | | en_US |
| dc.subject.keyword | | Liquidity | | en_US |
| dc.subject.keyword | | Option Pricing | | en_US |
| dc.subject.stw | | Wertpapierhandel | | en_US |
| dc.subject.stw | | Bewertung | | en_US |
| dc.subject.stw | | Markteffizienz | | en_US |
| dc.subject.stw | | Marktliquidität | | en_US |
| dc.subject.stw | | Risiko | | en_US |
| dc.subject.stw | | Optionspreistheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | The value of tradeability | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 637045580 | | en_US |
| dc.relation.isreplacedby | | http://hdl.handle.net/10419/70123 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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