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...

This paper addresses the micro-analytic foundations of illiquidity and price dynamics in the realestate market by integrating modern portfolio theory with models describing the real estate transactionprocess. Based on the notion that real estate is a heterogeneous good that is traded in...

Empirical evidence suggests that when the market becomes increasingly volatile, trading activities may be depressed or even halted. We develop a simple model to formally study the relationship between market volatility and asset liquidity in the real estate market. It is shown that an increase...