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Liquidity Crisis and Valuation Practices: Estimating the Cost  of Liquidity Ashok B. Abbott, Ph.d.,  Associate Professor of Finance,  West Virginia University
Liquidity Assumptions ,[object Object],[object Object],[object Object],[object Object],[object Object]
Core Issue in Liquidity-Immediacy  ,[object Object],[object Object],[object Object]
Effect of Liquidity on Security Pricing and Returns ,[object Object],[object Object],[object Object],[object Object],[object Object]
Pricing Implications of Liquidity ,[object Object],[object Object],[object Object],[object Object]
Liquidity Risk ,[object Object],[object Object]
Modeling Liquidity Risk  ,[object Object]
Large Firms Value Profile
Small Firm Value Profile
Large Firms Efficient Market
Large Firms Market Failure
Small Firms Inefficient Market
Market Failure Small Firms
Large Firms High Frequency Low Trading Costs
Small firms Low frequency High Trading Costs
Price Impact Large Block Trade  Large Firms
Price Impact Large Block Trade  Small Firms
Large Firms Mean Liquidation Periods Block Sizes 5,10,20%
Small Firms Mean Liquidation Periods Block Sizes 5,10,20%
Price Risk Small Firms  Block Sizes 5,10,20%
Price Risk Large Firms  Block Sizes 5,10,20%
Liquidation Price Impact ,[object Object],[object Object],[object Object]
Time Varying Liquidity ,[object Object],[object Object],[object Object]
Valuation Challenges Liquidity and Volatility ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Challenges and Opportunities for the Valuation Industry ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

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Presentation Nyc 2009