Chesney, Marc; Kempf, Alexander - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
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...
