The Consequences of Short-Sale Cons - E-book

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The Consequences Of Short-sale Constraints On The Stability Of Financial Markets - ENG

Gevorg Hunanyan

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Sinopsis

ISBN:	9783658279561
Formato:	Page Fidelity
Idioma:	Inglés
Editorial:	Springer Nature
Tema:	Negocios y economía
Subtema:	Macroeconomía
Año de publicación:	2019-10-05

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 portfolio selection, risk-taking behaviour as well as default probability. The author develops criteria that allow to analyse the effectiveness of short-sale constraints in reducing portfolio risk as well as default risk.

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