Header

UZH-Logo

Maintenance Infos

The value of tradeability - Zurich Open Repository and Archive


Chesney, Marc; Kempf, Alexander (2012). The value of tradeability. Review of Derivatives Research, 15(3):193-216.

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 mispricings 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 tradeability, 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.

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 mispricings 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 tradeability, 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.

Citations

1 citation in Web of Science®
1 citation in Scopus®
Google Scholar™

Altmetrics

Downloads

270 downloads since deposited on 16 Sep 2011
11 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:15 October 2012
Deposited On:16 Sep 2011 15:03
Last Modified:05 Apr 2016 15:01
Publisher:Springer
Series Name:NCCR FINRISK Working Paper Series
Number of Pages:43
ISSN:1380-6645
Publisher DOI:https://doi.org/10.1007/s11147-012-9074-0

Download

Preview Icon on Download
Preview
Filetype: PDF
Size: 348kB
View at publisher

TrendTerms

TrendTerms displays relevant terms of the abstract of this publication and related documents on a map. The terms and their relations were extracted from ZORA using word statistics. Their timelines are taken from ZORA as well. The bubble size of a term is proportional to the number of documents where the term occurs. Red, orange, yellow and green colors are used for terms that occur in the current document; red indicates high interlinkedness of a term with other terms, orange, yellow and green decreasing interlinkedness. Blue is used for terms that have a relation with the terms in this document, but occur in other documents.
You can navigate and zoom the map. Mouse-hovering a term displays its timeline, clicking it yields the associated documents.

Author Collaborations