Valuing Thinly Traded Assets
将非流动性建模为投资者出售资产时遵循的停时规则限制，发现非流动性折扣可高达30%-50%，即时性比持续流动性更有价值，且非流动性与波动性在影响资产价格上相互纠缠。
We model illiquidity as a restriction on the stopping rules investors can follow in selling assets, and apply this framework to the valuation of thinly traded investments. We find that discounts for illiquidity can be surprisingly large, approaching 30%–50% in some cases. Immediacy plays a unique role and is valued much more than ongoing liquidity. We show that investors in illiquid enterprises have strong incentives to increase dividends and other cash payouts, thereby introducing potential agency conflicts. We also find that illiquidity and volatility are fundamentally entangled in their effects on asset prices. This aspect may help explain why some assets are viewed as inherently more liquid than others and why liquidity concerns are heightened during financial crises. This paper was accepted by Gustavo Manso, finance.