An Examination of Heterogeneous Beliefs with a Short Sale Constraint

Michael 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.

References: Add references at CitEc
Citations: View citations in EconPapers (16)

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 (nodename nor servname provided, or not known)

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: https://EconPapers.repec.org/RePEc:cmu:gsiawp:-1927784071

Ordering information: This working paper can be ordered from
https://student-3k.t ... /gsiadoc/GSIA_WP.asp

Access Statistics for this paper

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