The Consequences of Short-Sale Constraints on the Stability of Financial Markets
2019 ed.
Book Details
Format
Paperback / Softback
ISBN-10
3658279559
ISBN-13
9783658279554
Edition
2019 ed.
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer Gabler
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Oct 10th, 2019
Print length
117 Pages
Product Classification:
Economic theory & philosophyMacroeconomicsInvestment & securities
Ksh 8,100.00
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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. The author develops criteria that allow to analyse the effectiveness of short-sale constraints in reducing portfolio risk as well as default risk.
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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