Short-Sales Constraints and the Diversification Puzzle
研究发现，投资者对股票估值存在分歧且卖空受限时，对联合大企业的估值分歧小于对其各分部的分歧，这导致多元化折价，且分歧与卖空约束共同解释其横截面差异。
Disagreement about stock valuation, combined with short-sales constraints, can increase asset prices. We build a model showing that, so long as investor beliefs are not perfectly correlated, investors disagree less about the value of a conglomerate than about each of its individual divisions. This generates a conglomerate discount with disagreement and short-sales constraints being complementary in explaining its cross-sectional variation. We test these predictions empirically and find substantial support: conglomerates have lower differences of opinion and lower short-sales constraints than pure-play firms. Furthermore, greater differences of opinion and tighter short-sales constraints are significant predictors of valuation differences between conglomerates and pure plays. This paper was accepted by Karl Diether, finance.