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

Gevorg Hunanyan (Autor)

eBook Download: PDF

2019 | 1. Auflage
XV, 129 Seiten
Springer Gabler (Verlag)
978-3-658-27956-1 (ISBN)

Infos

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.

Inhalt

Foreword 7
Acknowledgements 9
Contents 10
List of Figures and Tables 12
Abstract 13
Introduction 14
1Portfolio Selection 21
1.1 Prerequisites 21
1.2 Separation theorem 26
1.3 Risk-taking behaviour 33
1.3.1 Restricted short-selling 36
1.3.2 Prohibited short-selling 38
1.4 Default risk 39
2CAPM Equilibrium 45
2.1 Existence and uniqueness 47
2.2 The case with two investors 49
2.3 The case with three and more investors 54
3Dynamic Model 57
3.1 Prerequisites 58
3.2 Asset price dynamics 64
3.3 Price volatility 70
4Security Market Line 73
4.1 Systematic risk 74
4.2 Restricted short-selling 83
4.3 Prohibited short-selling 86
Conclusion 91
Appendix 93
A.1 Mathematical proofs 93
A.2 Minimum-variance portfolio 113
A.3 Primitive expectations 115
A.4 Slutsky decomposition 118
A.5 Elliptical distributions 119
Bibliography 123

Produkt-Details

• Erscheint lt. Verlag: 5.10.2019
• Sprache: englisch
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: agent-based modelling • CAPM • Equilibrium • Financial Markets • Mean-Variance Efficiency • Regulation • Short-Sale • stability • Systematic risk
• ISBN-10: 3-658-27956-7 / 3658279567
• ISBN-13: 978-3-658-27956-1 / 9783658279561