Snapshots of Systematic Risk and the Discount for Lack of Marketability

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that standard models can’t explain why low-beta assets often trade at larger liquidity discounts than riskier assets, but valuing liquidity as the option to swap an illiquid asset for the market portfolio offers a beta-adjusted formula for valuing thinly traded assets.