Incomplete-Information Capital Market Equilibrium with Heterogeneous Expectations and Short Sale Restrictions
This article extends Merton's (1987) asset-pricing model under incomplete information to consider the situation when investors' beliefs are divergent and short selling is restricted. The article finds that the diversity of beliefs increases the mean variance inefficiency of the market port...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1996
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/855 |
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| Institution: | Singapore Management University |
| Language: | English |