Short Sale Constraints, Correlation and Market Efficiency

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

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Year of publication:	2017
Authors:	Giannikos, Christos I.
Other Persons:	Gousgounis, Eleni (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Effizienzmarkthypothese \| Efficient market hypothesis \| Korrelation \| Correlation \| Leerverkauf \| Short selling \| Theorie \| Theory \| Wertpapierhandel \| Securities trading \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (33 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 13, 2017 erstellt
Other identifiers:	10.2139/ssrn.2331715 [DOI]
Classification:	G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012973959