Shod-Sales Constraints and the Diversification Puzzle

• 成果类型: Article
• 署名作者: Reed, Adam, V; Saffi, Pedro A. C.; Van Wesep, Edward D.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Cambridge; University of Colorado System; University of Colorado Boulder
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3467
• 发表日期: 2021
• 关键词: DIVERSIFICATION DISCOUNT; Short-sales constraints; differences of beliefs; Equity lending; Conglomerates

摘要

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.