Asset Prices, Heterogeneous Expectations, and Limited Short Sales

• 발행기관: 고려대학교 미래성장연구원
• 저자명: CHEOLBEOM PARK(박철범)
• 간행물 정보: 『미래성장연구』제2권, 21~43쪽, 전체 23쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.12.30

영문 초록

This paper extends the Harrison-Kreps model by allowing limited short sales and finite wealth. The main results of this paper are: (1) investors always pursue short-term gains (or participate in single-period speculation) when perceiving heterogeneous expectations; (2) important properties of the equilibrium price in the Harrison-Kreps model still hold even when limited short sales and finite wealth are allowed; (3) an increase in short-sale costs raises the risky asset price; and (4) an increase in the dispersion of expectations about future dividends also raises the risky asset price when the risky asset is held by a minority of investors.

목차

Ⅰ. Introduction

Ⅱ. An Individual Investor’s Investment Decision

Ⅲ. Market Equilibrium

Ⅳ. Dispersion in Expectations, Short-sale Costs and the Equilibrium Price

Ⅴ. Conclusion and Policy Discussion

키워드

Heterogeneous expectations Dispersion in expectations Limited short sales Short-sale cost Single-period speculation