Liquidity Risk of Private Assets: Evidence from Real Estate Markets

被引：12

作者：

Cheng, Ping ^{[1
]}

Lin, Zhenguo ^{[2
]}

Liu, Yingchun ^{[3
]}

机构：

[1] Florida Atlantic Univ, Boca Raton, FL 33431 USA

[2] Calif State Univ Fullerton, Fullerton, CA 92634 USA

[3] Laval Univ, Laval, PQ, Canada

来源：

FINANCIAL REVIEW | 2013年 / 48卷 / 04期

关键词：

illiquidity; liquidity risk; thinly traded private asset;

D O I：

10.1111/fire.12020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Investment in thinly traded private assets involves liquidity risk. Existing literature provides limited guidance as it mainly focuses on publicly traded security assets such as stocks and bonds. This paper develops an analytical tool for quantifying liquidity risk of private assets. Using commercial real estate as a model asset and under reasonable assumptions, we find that the magnitude of liquidity risk is too large to be ignored, especially in down markets when liquidity risk is a great concern.

引用

页码：671 / 696

页数：26

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