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- Title
Welfare effects of short-sale constraints under heterogeneous beliefs.
- Authors
Nakata, Hiroyuki
- Abstract
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, ). 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, ), instead of the standard ex ante criterion, since heterogeneity in beliefs invalidates it. Simulation results indicate the existence of socially optimal short-sale constraints.
- Subjects
SHORT selling (Securities); WELFARE economics; OVERLAPPING generations model (Economics); FINANCIAL economics; SIMULATION methods &; models; PUBLIC welfare
- Publication
Economic Theory, 2013, Vol 53, Issue 2, p283
- ISSN
0938-2259
- Publication type
Article
- DOI
10.1007/s00199-012-0691-5