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

  • Book
  • © 2019

Overview

Authors:
  1. Gevorg Hunanyan

    1. Technical University Kaiserslautern, Kaiserslautern, Germany

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  • Publication in the field of economic theory

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xv
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  2. Introduction

    • Gevorg Hunanyan
    Pages 1-7

  3. Portfolio Selection

    • Gevorg Hunanyan
    Pages 9-32

  4. CAPM Equilibrium

    • Gevorg Hunanyan
    Pages 33-44

  5. Dynamic Model

    • Gevorg Hunanyan
    Pages 45-60

  6. Security Market Line

    • Gevorg Hunanyan
    Pages 61-78

  7. Conclusion

    • Gevorg Hunanyan
    Pages 79-80

  8. Back Matter

    Pages 81-117
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Keywords

About this book

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.

Authors and Affiliations

  • Technical University Kaiserslautern, Kaiserslautern, Germany

    Gevorg Hunanyan

About 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.

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