Short sale constraints, divergence of opinion and asset values: evidence from the laboratory
- 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 bid-ask spreads are higher when short sale restrictions are imposed. JEL Classification: C92, G14 Keywords: Overvaluation Hypothesis , Short Selling Constraints , Divergence of Opinion
| Author: | Gerlinde Fellner, Erik TheissenORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-91482 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2011,05 |
| Series (Serial Number): | CFS working paper series (2011, 05) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2011 |
| Year of first Publication: | 2011 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2011/02/14 |
| Tag: | Divergence of Opinion; Overvaluation Hypothesis; Short Selling Constraints |
| GND Keyword: | Blankoverkauf |
| Issue: | Version January 2011 |
| Page Number: | 45 |
| HeBIS-PPN: | 233053948 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
