Читать книгу Equity Markets, Valuation, and Analysis - H. Kent Baker - Страница 43

Liquidity and marketability are often used interchangeably. Although related, the two market characteristics differ. Liquidity refers to the speed with which an asset can be converted into cash without a loss of value. Marketability refers to the level of ease or the ability of buyers or sellers of a security to create and complete a transaction.

Generally speaking, securities with better marketability are more liquid than those with poor marketability. As a result, they trade more often. This high level of trading activity implies that the change in value from trade to trade is generally minimal relative to the changes in value for illiquid securities. This feature is important to investors: Illiquidity essentially measures one type of cost related to stock trading and investing and is, therefore, a vital consideration for investors. Pastor and Stambaugh (2002a) show that stocks with higher sensitivity to liquidity have a higher required rate of return.

FIGURE 3.8 S&P 500 Index

This figure shows the S&P 500 Index level between 2010 and 2019.

Note: The S&P 500 is a gauge of the large-cap U.S. equities market. Since the S&P 500 is a price index and not a total return index, it does not contain dividends.

Source: S&P Dow Jones Indices (2019a).

Market participants can easily buy and sell marketable securities, but nonmarketable securities are more challenging to trade. The shares of a privately held company, for example, are more difficult to sell and thus less marketable than shares in a publicly held company because they do not trade in the public secondary market. The presence of an actively traded secondary market improves a security's marketability. In summary, securities with poor marketability are less liquid (illiquid) than those with better marketability because they trade less often, implying that changes in their values from trade to trade are generally larger relative to the changes in value for liquid securities.