Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
1980; Wiley; Volume: 35; Issue: 5 Linguagem: Inglês
10.1111/j.1540-6261.1980.tb02198.x
ISSN1540-6261
Autores Tópico(s)Complex Systems and Time Series Analysis
ResumoABSTRACT Under heterogeneous expectations, the mean–variance model of capital market equilibrium is employed to determine the effect restricting short sales has on equilibrium asset prices. Two equivalent markets differing only with respect to short sale restrictions are compared. It is shown that, in general, risky asset prices can either rise or fall due to short sale constraints. However, under a homogeneity of beliefs for the covariance matrix of future prices, short sale constraints will only increase risky asset prices.
Referência(s)