Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 43-55

被迫清算，低價甩賣和流動性的成本

作者：Richard R. Lindsey (New York University-Courant Institute of), Andrew B. Weisman (liquid alternatives at Janus Capital-chief investment officer)

摘要：為追求分散化投資，機構投資者常常對一些流動性相對較差的投資機會青睐有加，他們企圖因此而獲得由缺乏流動性而帶來的流動性補償。當流動性較差的投資組合定價相對于其真實市場價值過高時，其賬面估值也不再可靠，這類投資組合往往落到被迫清算的境地。當被迫清算發生時，一系列相應的成本也随之發生并被記錄在案，但在清算發生前，投資者卻極少将這種成本納入對流動性較差資産所要求回報率水平的考量。本文為這種流動性成本的估值提供了一個簡單的經期權調整的收益模型。

Forced Liquidations, Fire Sales, and the Cost of Illiquidity

Richard R. Lindsey (New York University-Courant Institute of), Andrew B. Weisman (liquid alternatives at Janus Capital-chief investment officer)

ABSTRACT

Seeking diversification, institutional investors are often drawn to investment opportunities that are relatively illiquid, taking for granted that they will receive a liquidity premium that compensates them for the lack of liquidity. Forced liquidations typically occur when illiquid portfolios become overvalued relative to their true market value and the reported valuation is no longer credible. When a forced liquidation occurs, the significant associated costs are obvious and easy to take into account. But there is a rarely recognized cost that investors should apply to illiquid investments' expected return before such an event. This article presents a simple option-adjusted return for evaluating the cost of such illiquidity.

原文鍊接：http://www.iijournals.com/loi/jpm

翻譯：陳爽