Short Sale Constraints, Correlation and Market Efficiency

被引:0
作者
Giannikos, Christos [2 ]
Gousgounis, Eleni [1 ]
机构
[1] Stevens Inst Technol, Hoboken, NJ 07030 USA
[2] Baruch Coll, New York, NY USA
来源
B E JOURNAL OF THEORETICAL ECONOMICS | 2018年 / 18卷 / 02期
关键词
short sale constraints; opinion dispersion; correlation; market efficiency; STOCK RETURNS; RESTRICTIONS; OWNERSHIP;
D O I
10.1515/bejte-2016-0085
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper models a market where short sales are prohibited and investors have heterogeneous beliefs on asset values. We show that short sale constraints may cause overpricing, the magnitude of which depends on not only investors' opinion dispersion on the value of the particular asset, but also on its correlation to other assets, as well as, the investors' opinion dispersion for the values of those other assets.
引用
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页数:18
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