The Consequences of Short-Sale Constraints on the Stability of Financial Markets

1. Auflage 2019
ISBN: 978-3-658-27955-4
Verlag: Springer

Buch, Englisch, 117 Seiten, Book, Format (B × H): 168 mm x 240 mm, Gewicht: 242 g

Reihe: Research

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.

Zielgruppe

Research

Autoren/Hrsg.

Hunanyan, Gevorg

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte

Inhaltsverzeichnis

Portfolio Selection.- CAPM Equilibrium.- Dynamic Model.- Security Market Line.

Über Autor(innen)

Gevorg Hunanyan completed his doctoral dissertation under the supervision of Prof. Dr. Jan Wenzelburger at the Technische Universität Kaiserslautern at the Chair of Macroeconomics.