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

被迫清算，低价甩卖和流动性的成本

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

摘要：为追求分散化投资，机构投资者常常对一些流动性相对较差的投资机会青睐有加，他们企图因此而获得由缺乏流动性而带来的流动性补偿。当流动性较差的投资组合定价相对于其真实市场价值过高时，其账面估值也不再可靠，这类投资组合往往落到被迫清算的境地。当被迫清算发生时，一系列相应的成本也随之发生并被记录在案，但在清算发生前，投资者却极少将这种成本纳入对流动性较差资产所要求回报率水平的考量。本文为这种流动性成本的估值提供了一个简单的经期权调整的收益模型。

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.

原文链接：http://www.iijournals.com/loi/jpm

翻译：陈爽