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An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy
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- Jarrow, Robert & Lamichhane, Sujan, 2022. "Risk premia, asset price bubbles, and monetary policy," Journal of Financial Stability, Elsevier, vol. 60(C).
- Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
- Zeckhauser, Richard Jay & Tran, Ngoc-Khanh, 2011.
"The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous,"
Scholarly Articles
5027955, Harvard Kennedy School of Government.
- Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
- Tran, Ngoc-Khanh & Zeckhauser, Richard, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," Working Papers 11-44, University of Pennsylvania, Wharton School, Weiss Center.
- Tran, Ngoc-Khanh & Zeckhauser, Richard J., 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs Are Heterogeneous," Working Paper Series rwp11-026, Harvard University, John F. Kennedy School of Government.
- Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018.
"Disagreement about inflation and the yield curve,"
Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
- Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.
- Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
- Anufriev, Mikhail & Tuinstra, Jan, 2013.
"The impact of short-selling constraints on financial market stability in a heterogeneous agents model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1523-1543.
- Mikhail Anufriev & Jan Tuinstra, 2013. "The Impact of Short-Selling Constraints on Financial Market Stability in a Heterogeneous Agents Model," Working Paper Series 3, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Anufriev, M. & Tuinstra, J., 2013. "The impact of short-selling constraints on financial market stability in a heterogeneous agents model," CeNDEF Working Papers 13-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Wei Xiong & Hongjun Yan, 2010.
"Heterogeneous Expectations and Bond Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
- Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
- Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
- Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
- Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.
- Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
- Adem Atmaz & Suleyman Basak, 2018.
"Belief Dispersion in the Stock Market,"
Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
- Basak, Suleyman & Atmaz, Adem, 2017. "Belief Dispersion in the Stock Market," CEPR Discussion Papers 12056, C.E.P.R. Discussion Papers.
- Andrea Buraschi & Paul Whelan, 2022. "Speculation, Sentiment, and Interest Rates," Management Science, INFORMS, vol. 68(3), pages 2308-2329, March.
- Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
- A. A. Brown & L. C. G. Rogers, 2009. "Heterogeneous Beliefs with Finite-Lived Agents," Papers 0907.4953, arXiv.org.
- Hiroyuki Nakata, 2013. "Welfare effects of short-sale constraints under heterogeneous beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 53(2), pages 283-314, June.
- Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
- Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
- Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
- Tian, Haoshu & Yan, Xuemin (Sterling) & Zheng, Lingling, 2024. "The price effect of temporary short-selling bans: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 69(C).
- Angus A Brown & L C G Rogers, 2010. "Diverse Beliefs," Papers 1001.1450, arXiv.org.
- Boehmer, Ekkehart & Huszar, Zsuzsa R. & Jordan, Bradford D., 2010. "The good news in short interest," Journal of Financial Economics, Elsevier, vol. 96(1), pages 80-97, April.
- Stephen L. Lenkey, 2021. "Informed Trading with a Short-Sale Prohibition," Management Science, INFORMS, vol. 67(3), pages 1803-1824, March.
- Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
- Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
- Kristoffer Nimark, 2009.
"Speculative dynamics in the term structure of interest rates,"
Economics Working Papers
1194, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2012.
- Kristoffer Nimark, 2012. "Speculative Dynamics in the Term Structure of Interest Rates," Working Papers 430, Barcelona School of Economics.
- Min Shen & Gabriel Turinici, 2012. "Liquidity generated by heterogeneous beliefs and costly estimations," Post-Print hal-00638966, HAL.
- Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
- Dan Bernhardt & Tingjun Liu & Robert Marquez, 2018. "Targeting Target Shareholders," Management Science, INFORMS, vol. 64(4), pages 1489-1509, April.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Beneish, M.D. & Lee, C.M.C. & Nichols, D.C., 2015.
"In short supply: Short-sellers and stock returns,"
Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 33-57.
- Beneish, M. D. & Lee, C. M. C. & Nichols, D. C., 2014. "In Short Supply: Short-Sellers and Stock Returns," Research Papers 3064, Stanford University, Graduate School of Business.
- Wang, Lanfang & Wang, Susheng, 2021. "Unusual investor behavior under tacit and endogenous market signals," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 76-97.
- Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016. "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, vol. 119(1), pages 210-225.
- Motolese, Maurizio & Nakata, Hiroyuki, 2024. "Are macroeconomic indices fool's gold?," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 240-260.
- Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016. "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 227-239.
- Lim, Bryan Y., 2011. "Short-sale constraints and price bubbles," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2443-2453, September.
- Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2022. "Endogenous habits and equilibrium asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 279-300.
- Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
- Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.
- Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
- Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
- Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
- Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
- Wei Xiong & Hongjun Yan, 2010.
"Heterogeneous Expectations and Bond Markets,"
Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.
- Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
- Wei Xiong & Hongjun Yan & Review Financial, 2007. "Heterogeneous Expectations and Bond Markets," Yale School of Management Working Papers amz2614, Yale School of Management, revised 01 Jun 2009.
- Zhao, Zhongkuang & Li, Shuqi & Xiong, Heping, 2014. "Short sale constraints, disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 42(C), pages 333-342.
- Hirota, Shinichi, 2023. "Money supply, opinion dispersion, and stock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1286-1310.
- Hongjun Yan, 2008.
"Natural Selection in Financial Markets: Does It Work?,"
Management Science, INFORMS, vol. 54(11), pages 1935-1950, November.
- Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
- Stavros Panageas, 2007.
"Optimal Retirement Benefit Guarantees,"
2007 Meeting Papers
172, Society for Economic Dynamics.
- Stavros Panageas, 2010. "Optimal retirement benefit guarantees," NBER Working Papers 15805, National Bureau of Economic Research, Inc.
- Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
- Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
- Du, Ke & Fu, Yishu & Qin, Zhenjiang & Zhang, Shuoxun, 2020. "Regime shift, speculation, and stock price," Research in International Business and Finance, Elsevier, vol. 52(C).
- Ki Beom Binh & Hogyu Jhang, 2015. "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 335-352, November.
- Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
- Fellner, Gerlinde & Theissen, Erik, 2014. "Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 113-127.
- Maurizio MOTOLESE & NAKATA Hiroyuki, 2016. "Endogenous Fluctuations and Social Welfare under Credit Constraints and Heterogeneous Beliefs," Discussion papers 16082, Research Institute of Economy, Trade and Industry (RIETI).