The Consequences of Short-Sale Constraints on the Stability of Financial Markets (eBook, PDF)
Gevorg Hunanyan
eBook, PDF

The Consequences of Short-Sale Constraints on the Stability of Financial Markets (eBook, PDF)

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Gevorg Hunanyan develops a model that provides a comprehensive theoretical framework to study the consequences of short-sale constraints on the stability of financial markets. This model shows that overpricing of securities is solely attributable to the subjective second moment beliefs of investors. Thus, short-sale constraints prevent a market decline only if investors have low dispersion of beliefs, which in the model is embodied in the covariance matrix. Moreover, the author analyses the consequences of short-sale constraints on the investor's portfolio selection, risk-taking behaviour as w...

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