The paper presents a method for calculating the cost of equity capital for the non-marketable
securities of private firms and its difference from the cost of equity capital of an all else equal …

Aiming to improve the KMV model as well as estimate the price discount on non-tradable
shares, this paper proposes the methods of particle swarm optimization and maximum …

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 …

We present a structural method for measuring the upper bound for the illiquidity risk of
liabilities issued by a levered firm. The method calculates the upper bound of illiquidity …

The literature contains four explanations for the private placement discount. I find that all four
contribute to the discount: loss of option value due to transfer restrictions, equity ownership …

ABSTRACT Market declines of 2008–2009 and 2022–2023 brought renewed attention to
the issue of illiquidity and the attendant costs faced by the stockholders. Margrabe exchange …

A recent article in BVR by Ashok Abbott offers a novel interpretation of two alternative put
option–based models for calculating a discount for lack of marketability (DLOM), a lookback …

As the OECD reports, smaller and medium-sized companies are the main cornerstone of
most global economies. The detection of SMEs' transaction values usually refers to public …

A general option-based approach to estimating the discount for lack of marketability is
offered. It is general enough to capture maturity, volatility, hedging availability, and investor …

In many situations, an investor can hold an asset that is traded in the market, but she is
prohibited from selling it during some period. A private placement with a trading restriction is …