|Title / Titel||The Value of Tradeability|
|Abstract (PDF, 14 KB)|
|Summary / Zusammenfassung||The Value of Tradeability
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
|Project leadership and contacts /
Projektleitung und Kontakte
|Funding source(s) /
|Universität Zürich (position pursuing an academic career), Others
|Duration of Project / Projektdauer||Jan 2010 to Jun 2012|