Chesney Kempf

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Completed research project

Title / Titel	The Value of Tradeability
PDF	Abstract (PDF, 14 KB)
Summary / Zusammenfassung	The Value of Tradeability 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 e±ciency 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 o®ers. Keywords: Tradeability, Liquidity, Option Pricing JE Weitere Informationen
Project leadership and contacts / Projektleitung und Kontakte	Prof. Marc Chesney (Project Leader)   Prof. Alexander Kempf (Project Leader)
Funding source(s) / Unterstützt durch	Universität Zürich (position pursuing an academic career), Others
Duration of Project / Projektdauer	Jan 2010 to Jun 2012