An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy*

DOI10.1093/rof/rfm036zbMath1179.91079OpenAlexW3124295662MaRDI QIDQ3183278

Burton Hollifield, Michael Gallmeyer

Publication date: 19 October 2009

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfm036

zbMATH Keywords

market price of riskintertemporal elasticity of substitutionIESshort-sale constraintequilibrium stock priceoptimistic investorpessimistic investor

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Economic dynamics (91B55)

Related Items (8)

Welfare effects of short-sale constraints under heterogeneous beliefs ⋮ Cross-sectional asset pricing with heterogeneous preferences and beliefs ⋮ Existence of an equilibrium with limited participation ⋮ Equilibrium in securities markets with heterogeneous investors and unspanned income risk ⋮ The impact of short-selling constraints on financial market stability in a heterogeneous agents model ⋮ Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt ⋮ Rational asset pricing bubbles and portfolio constraints ⋮ Diverse beliefs

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