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- W2168283655 abstract "Models of frictionless markets in which investors hold heterogeneous beliefs are observa- tionally equivalent to those in which investors have dierent degrees of ambiguity aversion in the sense of Gilboa and Schmeidler (1989): the investors who are more optimistic about a certain asset will hold more of it, just like ambiguity-averse investors will invest more in the stock that is less ambiguous to them. This is no longer the case when looking at short- selling in a two-agent endowment economy. In a model with dierences in beliefs, such a constraint can bind for an investor as long as the other would be willing to hold the excess supply. When agents are ambiguity averse however, short sale constraints can never bind in equilibrium, all agents choose to hold non-negative shares of assets. Not only do we observe short-sales in reality, there also seem to be periods when demand outstrips the supply for borrowed stock, indicating binding constraints in the short-sale market. This suggests that one might be able to distinguish both theories by examining portfolio decisions in markets with short-sale contracts. � I am grateful to Suleyman Basak, Georg Kaltenbrunner, Anna Pavlova, Lucie Tepla, and Hongjun Yan for many helpful discussions and also thank Benjamin Croitoru, Alexander Kurshev, Dmitry Makarov and Raman Uppal for comments. Financial support from the ESRC is gratefully acknowledged. Contact: email: aschor- nick@london.edu, tel. +44 20 7000 8244. A.V. Schornick, London Business School, Regent's Park, London NW1 4SA, UK." @default.
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- W2168283655 date "2006-01-01" @default.
- W2168283655 modified "2023-09-27" @default.
- W2168283655 title "Irrelevance of Short-Sale Constraints Under Ambiguity Aversion" @default.
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- W2168283655 doi "https://doi.org/10.2139/ssrn.676648" @default.
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