18. Measures of Discount for Lack of Marketability and Liquidity

  1. Rawley Thomas and
  2. Benton E. Gup
  1. Ashok Abbott Ph.D.

Published Online: 6 DEC 2011

DOI: 10.1002/9781118268179.ch18

The Valuation Handbook: Valuation Techniques from Today's Top Practitioners

The Valuation Handbook: Valuation Techniques from Today's Top Practitioners

How to Cite

Thomas, R. and Gup, B. E. (2009) Measures of Discount for Lack of Marketability and Liquidity, in The Valuation Handbook: Valuation Techniques from Today's Top Practitioners, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118268179.ch18

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 OCT 2009

ISBN Information

Print ISBN: 9780470385791

Online ISBN: 9781118268179

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Keywords:

  • equity interests;
  • business valuation practice;
  • risk-free rate;
  • capital asset pricing model;
  • publicly traded equivalent value

Summary

This chapter contains sections titled:

  • Publicly Traded Equivalent Value

  • Discounts for lack of Marketability and Discount for lack of Liquidity

  • Benchmarking Methods

  • Empirical Studies

  • Liquidity as a Pricing Factor

  • Distinction between Holding Period and Liquidation Period

  • Quantitative Approaches based on CAPM and Time Value

  • HistoricalMarket Liquidity Statistics

  • Price Pressure and Market failure

  • Measuring Asset Liquidity

  • Application of Time/Volatility (Option) Models to Discount for Lack Of Liquidity

  • Three Option based Models

  • Black-Scholes put (BSP)

  • Average Price Asian Put (AAP)

  • Look Back Put (LBP)

  • Conclusions

  • References