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Costs and benefits of speculation

Lensberg, Terje; Schenk-Hoppé, Klaus Reiner; Ladley, Daniel
Working paper
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URI
http://hdl.handle.net/11250/164189
Date
2012-10
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  • Discussion papers (FOR) [509]
Abstract
We quantify the effects of financial regulation in an equilibrium model with delegated

portfolio management. Fund managers trade stocks and bonds in an order-driven

market, subject to transaction taxes and constraints on short-selling and leverage.

Results are obtained on the equilibrium properties of portfolio choice, trading activity,

market quality and price dynamics under the different regulations. We find that short-

sale restrictions reduce short-term volatility and long swings in asset prices, while

transaction taxes do more harm than good.
Publisher
Norwegian School of Economics. Department of Finance and Management Science
Series
Discussion paper;2012:12

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