DLOM: Volatility Models and Restricted Stock Discounts
Part 1 of BVR's Special Series on Discounts for Lack of Marketability
Tuesday, November 10, 2015
10:00am-11:40am PT • 1:00pm-2:40pm ET
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Join expert John Stockdale for a practical and comparative look at eight computational DLOM models that use volatility as an input, including option and CAPM-based models as well as the sigma-DLOM curve. Stockdale will compare the performance of these models at varying volatilities to restricted stock discount data from the FMV and Pluris databases to determine how well they work. He will also cover the nuances of restricted stock discount data and how to handle the issues that arise in their analysis and use.
- Discussion of restricted stock discount studies
- The limitations of the older classical restricted stock studies
- The characteristics of restricted stock discounts from different eras of SEC required holding periods
- The characteristics of commercially available restricted stock discount databases
- Some issues in working with restricted stock discount studies
- The relationship between volatility and the size of restricted stock discounts
- Discussion of computational DLOM models that use volatility as an input
- The formulas for each model
- The effectiveness of each model in comparison to restricted stock discount data.
- Discussion of common stock volatility
- Range of volatility of classes and securities
- A discussion of a method of estimating volatility
- Gain insight into restricted stock discounts including the strengths and weakness of various studies and the relationship of the size of the discount compared to volatility and SEC holding period
- Learn the formulas for 8 different computational DLOM models and the effectiveness of each model
- Learn the historical volatility associated with classes of securities and a method for estimating volatility
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