Locked up by a lockup : valuing liquidity as a real option / Andrew Ang, Nicolas P.B. Bollen.

Ang, Andrew.
Bib ID
vtls001052586
出版項
Cambridge, Mass. : National Bureau of Economic Research, c2010.
稽核項
54 p. : ill. ; 22 cm.
電子版
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00002257237
總館1樓罕用
HB 1.N37 n.15937
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$a Locked up by a lockup : $b valuing liquidity as a real option / $c Andrew Ang, Nicolas P.B. Bollen.
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$a Cambridge, Mass. : $b National Bureau of Economic Research, $c c2010.
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$a 54 p. : $b ill. ; $c 22 cm.
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$a NBER working paper series ; $v no. 15937
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$a "April 2010"
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$a Title from http://www.nber.org/papers/w15937 viewed April 29, 2010.
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$a Includes bibliographical references (p. 38-42).
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$a Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities of hedge fund failure and optimal early exercise. We estimate a two-year lockup with a three-month notice period costs approximately 1% of the initial investment for an investor with CRRA utility and risk aversion of three. The cost of illiquidity can easily exceed 10% if the hedge fund manager can arbitrarily suspend withdrawals.
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$a Liquidity (Economics)
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$a Hedge funds.
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$a Investments $x Econometric models.
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$a Bollen, Nicolas P. B.
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$a National Bureau of Economic Research.
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$a Working paper series (National Bureau of Economic Research) ; $v no. 15937.
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$a NBER working paper series ; $v no. 15937
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叢書名
NBER working paper series ; no. 15937
Working paper series (National Bureau of Economic Research) ; no. 15937.
NBER working paper series ; no. 15937
標題
摘要
Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities of hedge fund failure and optimal early exercise. We estimate a two-year lockup with a three-month notice period costs approximately 1% of the initial investment for an investor with CRRA utility and risk aversion of three. The cost of illiquidity can easily exceed 10% if the hedge fund manager can arbitrarily suspend withdrawals.
附註
"April 2010"
Title from http://www.nber.org/papers/w15937 viewed April 29, 2010.
Includes bibliographical references (p. 38-42).
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