Similar Search Results

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds : The Bubble Theory

Jarrow, Robert A. - 2017

This paper provides a new explanation for closed-end fund (CEF) discounts and premiums using the local martingale theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing empirical evidence on CEF discounts/premiums. Additional...

Persistent link: https://www.econbiz.de/10012960808

Asset Market Equilibrium with Liquidity Risk

Jarrow, Robert A. - 2017

This paper derives an equilibrium asset pricing model with liquidity risk. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Under a mild set of assumptions, we prove that an equilibrium price process exists...

Persistent link: https://www.econbiz.de/10012971127

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

Jarrow, Robert A. - 2018

This paper derives an equilibrium asset pricing model with endogenous liquidity risk, trading constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...

Persistent link: https://www.econbiz.de/10012929504

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

Jarrow, Robert A. - 2018

This paper derives an equilibrium asset pricing model with endogenous liquidity risk, portfolio constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...

Persistent link: https://www.econbiz.de/10012929509

Positive Alphas and a Generalized Multiple-Factor Asset Pricing Model

Jarrow, Robert A. - 2015

general, depend on a different finite set of risk-factors. Second, positive alphas imply arbitrage opportunities or the …

Persistent link: https://www.econbiz.de/10013034546

Optimal Trading of Arbitrage Opportunities with Market Impact

Jarrow, Robert A. - 2010

and the arbitrageur's trades reduce (or eliminate) future arbitrage opportunities. In contrast to the standard textbook … arbitrage trading strategy which has infinite present value, we show that an arbitrageur's expected discounted trading profits … are finite. In addition, we show that it is rational for arbitrageurs not to trade the first time that arbitrage profits …

Persistent link: https://www.econbiz.de/10013144619

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Jarrow, Robert A. - 2010

represents an arbitrage opportunity. Second, we show that even if the correct factors and time varying betas are used, a non … bubble. We call this illusory arbitrage. Both facts are relevant to interpreting the existing empirical literature evaluating …

Persistent link: https://www.econbiz.de/10013144621

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates

Jarrow, Robert A. - 2012

structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly … arbitrage opportunities into the Treasury security markets. Short- to medium- term forward rates were reduced (less than twelve …

Persistent link: https://www.econbiz.de/10013108838

Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases

Emmerling, Thomas - 2018

Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve's large-scale asset purchases (LSAPs), we study the changes to expected returns. Through a simple general equilibrium model, we motivate how LSAPs may impact equilibrium bond and equity expected...

Persistent link: https://www.econbiz.de/10012938004

Portfolio Balance Effects and the Equity Market

Emmerling, Thomas - 2015

Many monetary studies on the portfolio balance effect omit its impact to equity returns. Motivated through a simple general equilibrium model, we study how changes in the bond supply affect the overall equity market. Our model predicts that exogenous increases (decreases) in the bond supply...

Persistent link: https://www.econbiz.de/10013013046