search query: @author Hollifield, B. / total: 3
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| Author: | Gallmeyer, M. Hollifield, B. |
| Title: | An examination of heterogeneous beliefs with a short-sale constraint in a dynamic economy |
| Journal: | Review of finance
2008 : VOL. 12:2, p. 323-364 |
| Index terms: | stock markets prices short selling models |
| Freeterms: | elasticity of substitution |
| Language: | eng |
| Abstract: | This paper examines the effects of a market-wide short-sale constraint (here as: csrnt.) in a dynamic economy with heterogeneous beliefs. Imposing the csrnt. reduces the stock price if the optimistic investors' (here as: o-invst's) intertemporal elasticity of substitution (IES) is less than one (< 1) and increases the stock price if the o-invst's IES is greater than one (> 1). In calibrated examples, the o-invst's market price of risk falls and the interest rate rises when the csrnt. binds. Imposing the csrnt. leads to a higher stock volatility if the o-invst's IES < 1 and a lower stock volatility if the IES > 1. |
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