An Examination of Heterogeneous Beliefs with a Short Sale Constraint

Michael F. Gallmeyer () and Burton Hollifield ()

No 2002-E2, GSIA Working Papers from Carnegie Mellon University, Tepper School of Business

Abstract: We use a calibrated dynamic general equilibrium economy with heterogeneous beliefs to study the effects of a short--selling constraint on stock prices, stock price volatility, and interest rates. We find large stock price and volatility effects from heterogeneous beliefs, without introducing short--selling constraints. When we introduce short--selling constraints into the economy, we find small additional stock price valuation effects, with large and offsetting effects on equilibrium interest rates and Sharpe ratios.

View citations in EconPapers

Downloads: (external link)
http://chinook.tepper.cmu.edu/constraint.pdf
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to chinook.tepper.cmu.edu:80 (Bad hostname 'chinook.tepper.cmu.edu')

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cmu:gsiawp:-1927784071

Ordering information: This working paper can be ordered from
http://server1.tepper.cmu.edu/gsiadoc/GSIA_WP.asp

Access Statistics for this paper

More papers in GSIA Working Papers from Carnegie Mellon University, Tepper School of Business
Address: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
Series data maintained by Steve Spear ().