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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.
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.