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- W1436954017 abstract "We show, in a rational expectations equilibrium model, that convex trading constraints reduce the marginal value of private information. Applying this finding to a setting in which investors face short-sale constraints, we show that the constraints increase the return volatility by adversely affecting the production of private information. When investors are highly risk averse or are holding highly correlated risky assets, short-sale constraints can lead to undervaluation, implying that imposing short-selling bans during economic crises not only do not curb volatility but also may fail to support prices." @default.
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- W1436954017 date "2016-11-11" @default.
- W1436954017 modified "2023-09-24" @default.
- W1436954017 title "Effects of Trading Constraints on Information Production, Expected Returns, and Return Volatility" @default.
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- W1436954017 hasPublicationYear "2016" @default.
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