Arbeitspapier

Short sale constraints, divergence of opinion and asset value: 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.

Sprache
Englisch

Erschienen in
Series: CFR working paper ; No. 11-03

Klassifikation
Wirtschaft
Design of Experiments: Laboratory, Group Behavior
Information and Market Efficiency; Event Studies; Insider Trading
Thema
overvaluation hypothesis
short selling constraints
divergence of opinion

Ereignis
Geistige Schöpfung
(wer)
Fellner, Gerlinde
Theissen, Erik
Ereignis
Veröffentlichung
(wer)
University of Cologne, Centre for Financial Research (CFR)
(wo)
Cologne
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Fellner, Gerlinde
  • Theissen, Erik
  • University of Cologne, Centre for Financial Research (CFR)

Entstanden

  • 2011

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