' '&' ' 标题：Non-Marketability and One-Day Selling Lock-Up

汇报人：Jiangze Bian (University of International Business and Economics)

功夫：4月9日（周五）9:30-10:50am

地址：拉斯维加斯9888新楼215教室

提要：A deep-in-the-money call warrant and its underlying common share are two highly correlated financial assets. However, trading of these two assets is subject to different restrictions in China. Buyers of stock are subject to a one-day lock-up and cannot sell their shares until the next trading day, but warrant traders are free of such restrictions and may conduct day trading. This paper examines the non-marketability discount in stock prices due to the one-day trading lock-up. We demonstrate that the non-marketability discount is negatively correlated with stock liquidity (smaller discounts are associated with more liquid stocks) and positively correlated with warrant liquidity (bigger discounts are associated with more liquid warrants). Furthermore, as would be expected, intraday results show that the non-marketability discount decreases through the day as the time of the lock-up decreases. This unique market where two nearly identical assets are traded under different trading constraints enables us to directly measure the non-marketability discount, which is difficult to obtain in other markets. Our empirical conclusion supports the ' '&' 'ldquo;portfolio claustrophobia' '&' 'rdquo; theory of Longstaff (2009) with even a very short one-day lock-up window. The paper provides implications to value illiquid or nonmarketable assets.

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