The Consequences of Short-Sale Constraints on the Stability of Financial Markets
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „The Consequences of Short-Sale Constraints on the Stability of Financial Markets “
Portfolio Selection.- CAPM Equilibrium.- Dynamic Model.- Security Market Line.
Autoren-Porträt von Gevorg Hunanyan
Gevorg Hunanyan completed his doctoral dissertation under the supervision of Prof. Dr. Jan Wenzelburger at the Technische Universität Kaiserslautern at the Chair of Macroeconomics.
Bibliographische Angaben
- Autor: Gevorg Hunanyan
- 2019, 1st ed. 2019, XV, 117 Seiten, Masse: 16,8 x 24 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3658279559
- ISBN-13: 9783658279554
Sprache:
Englisch
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