Short Sale Constraints, Correlation and Market Efficiency
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Christos Giannikos
Abstract
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.
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© 2018 Walter de Gruyter GmbH, Berlin/Boston
Artikel in diesem Heft
- Special Section on Logic and the Foundations of Game and Decision Theory (LOFT12)
- Introduction to the Special Section on Logic and the Foundations of Game and Decision Theory (LOFT12)
- Estimating the Use of Higher-Order Theory of Mind Using Computational Agents
- Beyond Coincidence: The Reasoning Process Underlying Utility Proportional Beliefs Process
- Non-Congruent Views about Signal Precision in Collective Decisions
- Structural Control in Weighted Voting Games
- Agreeing to Disagree with Conditional Probability Systems
- Research Articles
- Traps and incentives
- 10.1515/bejte-2016-0058
- Short Sale Constraints, Correlation and Market Efficiency
- Endogenous Timing in Vertically-Related Markets
- Strategic Investment under Incomplete Information
- Strategic Effects between Price-takers and Non-price-takers
- Consumer Heterogeneity and Surplus under Two-Part Pricing
- Conflict and Competition over Multi-Issues
- Limited Liability and High Bids in English Auctions
- The Choice of Prices versus Quantities under Outsourcing
- Wars of Attrition with Endogenously Determined Budget Constraints
- Notes
- A Note on Cohabitation and Marriage
Artikel in diesem Heft
- Special Section on Logic and the Foundations of Game and Decision Theory (LOFT12)
- Introduction to the Special Section on Logic and the Foundations of Game and Decision Theory (LOFT12)
- Estimating the Use of Higher-Order Theory of Mind Using Computational Agents
- Beyond Coincidence: The Reasoning Process Underlying Utility Proportional Beliefs Process
- Non-Congruent Views about Signal Precision in Collective Decisions
- Structural Control in Weighted Voting Games
- Agreeing to Disagree with Conditional Probability Systems
- Research Articles
- Traps and incentives
- 10.1515/bejte-2016-0058
- Short Sale Constraints, Correlation and Market Efficiency
- Endogenous Timing in Vertically-Related Markets
- Strategic Investment under Incomplete Information
- Strategic Effects between Price-takers and Non-price-takers
- Consumer Heterogeneity and Surplus under Two-Part Pricing
- Conflict and Competition over Multi-Issues
- Limited Liability and High Bids in English Auctions
- The Choice of Prices versus Quantities under Outsourcing
- Wars of Attrition with Endogenously Determined Budget Constraints
- Notes
- A Note on Cohabitation and Marriage
