Thinly-traded assets exhibit illiquidity and do not fit in the efficient market paradigm. Direct application of classical finance theories to illiquid assets simply ignores the illiquidity risk of thinly-traded assets. Using commercial real estate as a testing ground, this paper develops a new,...

Thinly-traded private assets do not fit into the traditional finance paradigm of a liquid and well-functioning market where trading is continuous and instantaneous. Since private assets cannot be bought and sold easily, they bear liquidity risk. Classical finance theories cannot properly gauge...

Choosing the optimal holding period is an important part of real estate investment decisions, because “when to sell” affects “whether to buy.” This paper presents a theoretical model for such decision making. Our model indicates that the optimal holding period is affected by both...

Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices are implicitly assumed to follow a random walk. It is widely agreed that real estate does not fit into the efficient market paradigm; however, mixed-asset portfolio analysis...

This paper develops a formal model to examine the effect of changing market conditions and individuals' selling constraints on expected selling price and time-on-market. Using the concept of Relative Liquidity Constraint (RLC) - a stochastic variable that captures the randomness of future...

This paper develops a formal model to examine the effect of changing market conditions and individuals' selling constraints on selling price and time-on-market. Using the concept of Relative Liquidity Constraint (RLC) – a stochastic variable that captures the randomness of future individual...