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Locked Up by a Lockup

其他書名	Valuing Liquidity as a Real Option
出版	National Bureau of Economic Research, 2010
URL	http://books.google.com.hk/books?id=C86ZswEACAAJ&hl=&source=gbs_api

註釋Abstract: Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor's decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities of hedge fund failure and optimal early exercise. We estimate a two-year lockup with a three-month notice period costs approximately 1% of the initial investment for an investor with CRRA utility and risk aversion of three. The cost of illiquidity can easily exceed 10% if the hedge fund manager can arbitrarily suspend withdrawals