Fellner, Gerlinde and Theissen, Erik ORCID: 0000-0003-4460-8168 (2014). Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory. J. Econ. Behav. Organ., 101. S. 113 - 128. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1879-1751

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Abstract

The overvaluation hypothesis (Miller, 1977) predicts that (a) stocks are overvalued in the presence of short selling restrictions and that (b) the overvaluation increases in the degree of divergence of opinion. We design an experiment that allows us to test these predictions in the laboratory. The results indicate that prices are higher with short selling constraints, but the overvaluation does not increase in the degree of divergence of opinion. We further find that trading volume is lower and quoted bid-ask spreads tend to be higher when short sale restrictions are imposed. (C) 2014 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Fellner, GerlindeUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Theissen, ErikUNSPECIFIEDorcid.org/0000-0003-4460-8168UNSPECIFIED
URN: urn:nbn:de:hbz:38-439351
DOI: 10.1016/j.jebo.2014.02.010
Journal or Publication Title: J. Econ. Behav. Organ.
Volume: 101
Page Range: S. 113 - 128
Date: 2014
Publisher: ELSEVIER SCIENCE BV
Place of Publication: AMSTERDAM
ISSN: 1879-1751
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
STOCK RETURNS; CROSS-SECTION; SHORT-SELLERS; MARKET; OPTIONS; BUBBLES; CRASHES; RISK; RESTRICTIONS; EFFICIENCYMultiple languages
EconomicsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/43935

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