Heterogeneous Expectations, Restrictions on Short Sales, and Equilibrium Asset Prices
在异质预期下运用均值-方差模型，分析卖空限制对均衡资产价格的影响，发现卖空约束可能推高或压低风险资产价格，但在未来价格协方差矩阵同质信念下只会推高价格。
ABSTRACT Under heterogeneous expectations, the mean–variance model of capital market equilibrium is employed to determine the effect restricting short sales has on equilibrium asset prices. Two equivalent markets differing only with respect to short sale restrictions are compared. It is shown that, in general, risky asset prices can either rise or fall due to short sale constraints. However, under a homogeneity of beliefs for the covariance matrix of future prices, short sale constraints will only increase risky asset prices.