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WendyW · 2023年04月25日

liquidity premium

做官网机构IPS题目的时候,有一题是:Discuss Smith’s method for estimating the increase in return expectations derived from increasing the endowment allocation to private equity.

答案是:

The illiquidity premium (also called the liquidity premium) is the expected compensation for the additional risk of tying up capital for a potentially uncertain time period. It can be estimated, as Smith has done, by using the idea that the size of a discount an investor should receive for such capital commitment is represented by the value of a put option with an exercise price equal to the hypothetical “marketable price” of the illiquid asset as estimated at the time of purchase. Smith can derive the price of the illiquid private equity asset by subtracting the put price from the “marketable price.” If both the “marketable price” and the illiquid asset price are estimated or known, then the expected return for each can be calculated, with the difference in expected returns representing the illiquidity premium (in %).

这个计算说明没看明白,可否帮讲解?谢谢。

1 个答案

lynn_品职助教 · 2023年04月25日

嗨,爱思考的PZer你好:


这道题是Reading 28 ■ Case Study in Portfolio Management: Institutional 的课后练习,讲的是low liquidity public equity有Liquidity premium,


by using the idea that the size of a discount an investor should receive for such capital commitment is represented by the value of a put option with an exercise price equal to the hypothetical “marketable price” of the illiquid asset as estimated at the time of purchase. 

黄色高亮就是指流动性溢价,这里说用一个看跌期权的价值表示流动性溢价,其执行价格等于购买时估计的illiquid资产的假设“可销售价格”。


S同学可从“可销售价格”中减去看跌期权价格,就得出非流动性私人股本资产的价格。


其实简单说就是用衍生品定价,这个方法很奇怪。


我们计算的时候用市场指数算有流动性补偿不一定正确,因为投资者在实际投资时只会投资一部分股票,个股是否有这个流动性补偿并不好说。这种题属于开放式的问答题,基本不会在CFA的考题里出现,CFA的考题是有明确结论的,不会是这种正反两方面讨论的题目。因此本题大概看看即可。 

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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