ENGLISH

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

By Gevorg Hunanyan

Book information

Publisher
Springer Fachmedien Wiesbaden;Springer Gabler
Year
2019
ISBN
978-3-658-27955-4, 978-3-658-27956-1
Language
english
Format
PDF
Filesize
2 MB (1832695 bytes)
Series
Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management
Edition
1st ed. 2019
Pages
XV, 117\129
Time added
2020-02-08 04:42:39
Economics; Economic Theory/Quantitative Economics/

Description

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 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. Front Matter ....Pages i-xv Introduction (Gevorg Hunanyan)....Pages 1-7 Portfolio Selection (Gevorg Hunanyan)....Pages 9-32 CAPM Equilibrium (Gevorg Hunanyan)....Pages 33-44 Dynamic Model (Gevorg Hunanyan)....Pages 45-60 Security Market Line (Gevorg Hunanyan)....Pages 61-78 Conclusion (Gevorg Hunanyan)....Pages 79-80 Back Matter ....Pages 81-117

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