Liquidity risk of private assets: Evidence from real estate markets Article

Cheng, P, Lin, Z, Liu, Y. (2013). Liquidity risk of private assets: Evidence from real estate markets . FINANCIAL REVIEW, 48(4), 671-696. 10.1111/fire.12020

cited authors

  • Cheng, P; Lin, Z; Liu, Y

authors

abstract

  • 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 commercial real estate as a model asset and under reasonable assumptions, we find that the magnitude of liquidity risk is too large to be ignored, especially in down markets when liquidity risk is a great concern. © 2013 The Eastern Finance Association.

publication date

  • November 1, 2013

published in

Digital Object Identifier (DOI)

start page

  • 671

end page

  • 696

volume

  • 48

issue

  • 4