The discount for lack of marketability term structure

IF 2.3 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2025-02-06 DOI:10.1111/jfir.12457

John D. Finnerty

引用次数: 0

Abstract

I empirically estimate a discount for lack of marketability (DLOM) term structure for restriction periods up to 10 years. I model the multi-year DLOM by annually compounding the 1-year DLOM plus a term premium over the restriction period. I fit the model to a sample of 5,333 private equity placement implied DLOMs between 1985 and 2017. I estimate different DLOM term structures for the last and earlier pre-initial public offering (IPO) private equity transactions. DLOM term structures exhibit level, slope, and curvature shifts similar to an interest rate term structure.

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由于缺乏适销性期限结构而产生的折扣

我根据经验估计，对于长达10年的限制期，缺乏适销性（DLOM）期限结构的折扣。我通过每年复利1年DLOM加上限制期内的期限溢价来模拟多年DLOM。我将该模型拟合到1985年至2017年间5333个私募股权配售隐含dlm的样本中。我估计了最后一次和更早的首次公开募股（IPO）前私募股权交易的不同DLOM期限结构。DLOM期限结构表现出与利率期限结构相似的水平、斜率和曲率变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.