Short Sale Constraints, Correlation and Market Efficiency
Author | : Christos I. Giannikos |
Publisher | : |
Total Pages | : 33 |
Release | : 2017 |
ISBN-10 | : OCLC:1305540071 |
ISBN-13 | : |
Rating | : 4/5 (71 Downloads) |
Book Synopsis Short Sale Constraints, Correlation and Market Efficiency by : Christos I. Giannikos
Download or read book Short Sale Constraints, Correlation and Market Efficiency written by Christos I. Giannikos and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper models a market where short sales are prohibited and investors have heterogeneous beliefs on asset values. We show that short sale constraints may cause overpricing, the magnitude of which depends on not only investors' opinion dispersion on the value of the particular asset, but also on its correlation to other assets, as well as, the investors' opinion dispersion for the values of those other assets.