DocumentCode
2428452
Title
An option-based empirical investigation of Chinese corporate liquidity value
Author
Du, Jinmin ; Zheng, Lingyun
Author_Institution
Inst. of Finance Res., Jinan Univ., Guangzhou
fYear
2008
fDate
7-11 June 2008
Firstpage
37
Lastpage
42
Abstract
Corporate liquidity pricing is a new topic. With the discussion of the essence of liquidity, this paper established an exchange-option-based corporate liquidity pricing model which combines the investment option and insurance option taking into considerations of their execution probabilities. And we apply the model to investigate the liquidity value of Chinese firms with the data of the listed companies in Shanghai stock market.
Keywords
corporate modelling; pricing; Chinese corporate liquidity value; Shanghai stock market; pricing model; Costs; Decision making; Finance; Insurance; Investments; Neural networks; Pricing; Signal processing; Stochastic processes; Stock markets; corporate liquidity; exchange option; insurance option; investment option;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks and Signal Processing, 2008 International Conference on
Conference_Location
Nanjing
Print_ISBN
978-1-4244-2310-1
Electronic_ISBN
978-1-4244-2311-8
Type
conf
DOI
10.1109/ICNNSP.2008.4590305
Filename
4590305
Link To Document