This chapter presents an objective method of estimating the price of liquidity risk in private capital markets—commonly termed discount for lack of marketability (‘DLOM’)—in the context of estimating the value of privately held capital assets. The method is derived from basic financial economic theory, the intimate logical relationship between liquidity risk and private capital market transaction costs, historical practices of transaction broker-advisor practices, and empirical data on merger and acquisition transaction fees. Transaction cost functions representing estimates of the price of liquidity risk in private capital markets are estimated for both a highly developed market economy and an (arguably) emerging market economy. An example of applying the method in the context of estimating the value of a privately held capital asset in Brazil is presented and, finally, the method is compared briefly to existing, subjective DLOM estimation methods.