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

Gevorg Hunanyan (Autor)

Buch | Softcover

XV, 117 Seiten

2019 | 1st ed. 2019
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-27955-4 (ISBN)

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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.

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

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

Erscheinungsdatum	11.10.2019
Reihe/Serie	Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management
Zusatzinfo	XV, 117 p. 24 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	168 x 240 mm
Gewicht	242 g
Themenwelt	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
Schlagworte	agent-based modelling • CAPM • Equilibrium • Financial Markets • Mean-Variance Efficiency • Regulation • Short-Sale • stability • Systematic risk
ISBN-10	3-658-27955-9 / 3658279559
ISBN-13	978-3-658-27955-4 / 9783658279554
Zustand	Neuware