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Asset Prices, Heterogeneous Expectations, and Limited Short Sales
CHEOLBEOM PARK(박철범) 고려대학교 미래성장연구소 2016 미래성장연구 Vol.2 No.1
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.
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Asset Prices, Heterogeneous Expectations, and Limited Short Sales
박철범 고려대학교 미래성장연구원 2016 미래성장연구 Vol.2 No.1
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.
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Free Lunches for Insiders under Investor Inertia and Limited Arbitrage
Woojin Kim,Shu-Feng Wang 한국재무학회 2013 한국재무학회 학술대회 Vol.2013 No.05
This paper examines how investor inertia and limited arbitrage might interact to benefit the controlling families of business groups in a way that is distinct from tunneling or expropriation. Using spin-offs followed by stock-for-stock tender offers by Korean publicly traded firms, we find that outside investors remain passive while family insiders actively tender their shares of the operating subsidiary in exchange for newly issued shares in the holding company. We also find that mispricing relative to those implied in the tender offer exchange ratio is not arbitraged away in 2/3 of our sample transactions, implying a clear violation of law of one price. Such mispricing provides controlling families with a wealth gain of 4 to 5% on average. Our results suggest that insiders may actively exploit behavioral aspects of the stock market to maximize their personal benefits.
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