Informational Efficiency under Short Sale Constraints
نویسندگان
چکیده
منابع مشابه
Asset Prices Under Short-Sale Constraints
In this paper, we study how short-sale constraints affect asset price and market efficiency. We consider a fully rational expectations equilibrium model, in which investors trade for two reasons, to share risk and to speculate on private information, but they face short-sale constraints. Short-sale constraints limit both types of trades, and thus reduce the allocational and informational effici...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2015
ISSN: 1945-497X
DOI: 10.1137/140963522