The Consequences of Short-Sale Constraints on the Stability of Financial Markets

Name: The Consequences of Short-Sale Constraints on the Stability of Financial Markets
Brand: Springer Nature
SKU: 9783658279561
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Springer Nature

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9783658279561

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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 investors 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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