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

  • Gevorg Hunanyan

Table of contents

  1. Front Matter
    Pages i-xv
  2. Gevorg Hunanyan
    Pages 1-7
  3. Gevorg Hunanyan
    Pages 9-32
  4. Gevorg Hunanyan
    Pages 33-44
  5. Gevorg Hunanyan
    Pages 45-60
  6. Gevorg Hunanyan
    Pages 61-78
  7. Gevorg Hunanyan
    Pages 79-80
  8. Back Matter
    Pages 81-117

About this book

Introduction

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.

Contents

  • Portfolio Selection
  • CAPM Equilibrium
  • Dynamic Model
  • Security Market Line

Target Groups

  • Researchers and students in the fields of financial engineering, mathematics, microeconomics, macroeconomics and business sciences
  • Practitioners in the fields of banking, insurance, (political) consulting

The Author

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

Keywords

Short-Sale Regulation CAPM Equilibrium Agent-Based Modelling Financial Markets Stability Systematic Risk Mean-Variance Efficiency

Authors and affiliations

  • Gevorg Hunanyan
    • 1
  1. 1.Technical University KaiserslauternKaiserslauternGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-27956-1
  • Copyright Information Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2019
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-658-27955-4
  • Online ISBN 978-3-658-27956-1
  • Series Print ISSN 2524-6429
  • Series Online ISSN 2524-6437
  • Buy this book on publisher's site