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

Gevorg Hunanyan

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  • 117 sidor
  • 2019
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.
  • Författare: Gevorg Hunanyan
  • Format: Pocket/Paperback
  • ISBN: 9783658279554
  • Språk: Engelska
  • Antal sidor: 117
  • Utgivningsdatum: 2019-10-10
  • Förlag: Springer Gabler