Welfare effects of short-sale constraints under heterogeneous beliefs Hiroyuki Nakata

By:

Nakata, Hiroyuki [author]

Material type: Text

TextSeries: Economic Theory ; Volume 53, number 2Heildelberg Springer 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Business and Economics -- Rational beliefs -- Economic Theory

LOC classification:

HB119 ECO

Online resources:

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Summary: This paper examines the welfare effects of short-sale constraints in an overlapping generations model of a financial economy with heterogeneous beliefs by focussing on the case of rational beliefs in the sense of Kurz (Econ Theory 4:877–900, 1994). To measure the social welfare, we adopt a measure that is based on the ex post social welfare concept in the sense of Hammond (Economica 48:235–250, 1981), instead of the standard ex ante criterion, since heterogeneity in beliefs invalidates it. Simulation results indicate the existence of socially optimal short-sale constraints

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB119 ECO (Browse shelf(Opens below))	Vol.53 , No.2 (pages283-314)	SP21037	Not for loan	For In house Use

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This paper examines the welfare effects of short-sale constraints in an overlapping generations model of a financial economy with heterogeneous beliefs by focussing on the case of rational beliefs in the sense of Kurz (Econ Theory 4:877–900, 1994). To measure the social welfare, we adopt a measure that is based on the ex post social welfare concept in the sense of Hammond (Economica 48:235–250, 1981), instead of the standard ex ante criterion, since heterogeneity in beliefs invalidates it. Simulation results indicate the existence of socially optimal short-sale constraints

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