Locked Up by a Lockup: Valuing Liquidity as a Real Option
---- Acknowledgements ----
The authors thank an anonymous referee, the editor, Emanuel Derman, Greg van Inwegen, Jacob Sagi, Hans Stoll, Neng Wang, seminar participants at Columbia University's Financial Engineering Practitioners Seminar, Cornell University, the University of Mississippi, Vanderbilt University, and Virginia Tech, as well as attendees of the 1st Conference on the Econometrics of Hedge Funds (Paris) and the 3rd Conference on Professional Asset Management (Rotterdam) for helpful comments. Support from the Financial Markets Research Center and the Center for Hedge Fund Research (CHFR) at Imperial College London is gratefully acknowledged. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.