Liquidity and Control Adjustment Based on Market Data for Russian Assets
3 Pages Posted: 6 Jul 2009 Last revised: 8 Sep 2009
Date Written: July 3, 2009
Abstract
A liquidity discount to be applied to valuations in Russia has been based on a synthetic bid-ask spread approach. Market data for Russian mid-size and small-cap stocks has been utilised to build a multi-factor regression, connecting the size of the bid-ask spread to quantitative and qualitative variables, such as the availability of profit in the last reporting period, the availability of consolidated financial statements, volume traded, etc.
Note: Downloadable document is in Russian.
Keywords: liquidity discount, liquidity, russian
Suggested Citation: Suggested Citation
Михайловский, Михаил, Liquidity and Control Adjustment Based on Market Data for Russian Assets (July 3, 2009). Available at SSRN: https://ssrn.com/abstract=1429318 or http://dx.doi.org/10.2139/ssrn.1429318
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