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Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
CFR working paper No. 11-03
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
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.
Schlagwörter: 
overvaluation hypothesis
short selling constraints
divergence of opinion
JEL: 
C92
G14
Dokumentart: 
Working Paper

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