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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFR working paper ; No. 11-03
- Classification
-
Wirtschaft
Design of Experiments: Laboratory, Group Behavior
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
overvaluation hypothesis
short selling constraints
divergence of opinion
- Event
-
Geistige Schöpfung
- (who)
-
Fellner, Gerlinde
Theissen, Erik
- Event
-
Veröffentlichung
- (who)
-
University of Cologne, Centre for Financial Research (CFR)
- (where)
-
Cologne
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fellner, Gerlinde
- Theissen, Erik
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2011
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The origins of bubbles in laboratory asset markets
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Conditions for divergence