The Consequences of Short-Sale Constraints on the Stability of Financial Markets
ISBN:
978-3-658-27955-4
Auflage:
1st ed. 2019
Verlag:
Springer Fachmedien Wiesbaden GmbH
Land des Verlags:
Deutschland
Erscheinungsdatum:
10.10.2019
Reihe:
Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management
Format:
Softcover
Seitenanzahl:
117
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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.
Schlagwörter
Biografische Anmerkung
Gevorg Hunanyan completed his doctoral dissertation under the supervision of Prof. Dr. Jan Wenzelburger at the Technische Universität Kaiserslautern at the Chair of Macroeconomics.
