Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles

2017 ◽  
Author(s):  
Robert A. Jarrow
Keyword(s):  
Asset Price ◽  
Market Equilibrium ◽  
Liquidity Risk ◽  
Asset Market ◽  
Capital Asset ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Trading Constraints

A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES

2017 ◽  
Vol 20 (08) ◽  
pp. 1750053 ◽  
Author(s):  
ROBERT JARROW
Keyword(s):  
Diffusion Processes ◽  
Asset Price ◽  
Markov Jump ◽  
Asset Price Bubbles ◽  
Short Sale ◽  
Price Bubbles ◽  
Jump Diffusion Processes ◽  
Special Cases ◽  
Systematic Risk Factors ◽  
Trading Constraints

This paper derives an equilibrium capital asset pricing model (CAPM) in a market with trading constraints and asset price bubbles. The asset price processes are general semimartingales including Markov jump-diffusion processes as special cases, and the trading constraints considered include short sale restrictions, borrowing constraints, and margin requirements, among others. We derive a generalized intertertemporal CAPM and consumption CAPM for these markets. The implications for empirical testing are that additional systematic risk factors will exist in a market with trading constraints and price bubbles as contrasted with an otherwise equivalent unconstrained market with no price bubbles.

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

scholarly journals Online Communication and Asset Price Bubbles

2021 ◽  
Vol 187 ◽  
pp. 36-41
Author(s):  
Kun Zhang ◽  
Tianyi Gu ◽  
Yuanyuan Wang
Keyword(s):  
Asset Price ◽  
Online Communication ◽  
Asset Price Bubbles ◽  
Price Bubbles
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