The Consequences Of Short-sale Constraints On The Stability Of Financial Markets di Gevorg Hunanyan edito da Springer-verlag Berlin And Heidelberg Gmbh & Co. Kg
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The Consequences Of Short-sale Constraints On The Stability Of Financial Markets

Hunanyan, G: Consequences of Short-Sale Constraints on the S

EAN:

9783658279554

ISBN:

3658279559

Pagine:
117
Formato:
Paperback
Lingua:
Tedesco
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Descrizione The Consequences Of Short-sale Constraints On The Stability Of Financial Markets

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.

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