Similar Search Results

Bubbles and multiple-factor asset pricing models

Jarrow, Robert A. - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011453887

Liquidity risk and the term structure of interest rates

Jarrow, Robert A.; Roch, Alexandre F. - In: Mathematics and financial economics 9 (2015) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10010500696

Risk measures and the impact of asset price bubbles

Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56

Persistent link: https://www.econbiz.de/10011298886

Asset market equilibrium with liquidity risk

Jarrow, Robert A. - In: Annals of finance 14 (2018) 2, pp. 253-288

Persistent link: https://www.econbiz.de/10011945597

Positive alphas and a generalized multiple-factor asset pricing model

Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10011446005

Large-trader impact and market regulation

Gastineau, Gary L. - In: Financial analysts' journal : FAJ 47 (1991) 4, pp. 40-51

Persistent link: https://www.econbiz.de/10001111205

Liquidity risk and arbitrage pricing theory

Çetin, Umut; Jarrow, Robert A.; Protter, Philip E. - In: Finance and stochastics 8 (2004) 3, pp. 311-341

Persistent link: https://www.econbiz.de/10002130310

On model testing in financial economics

Jarrow, Robert A. - In: The financial review : the official publication of the … 45 (2010) 2, pp. 277-285

Persistent link: https://www.econbiz.de/10003974068

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