This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in … opportunities. Furthermore, it is shown that when they are present bubbles can lead to both multiplicity and real indeterminacy of … make bubbles a necessary condition for the existence of an equilibrium …

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 generated by the existence of trading constraints, e.g. short sale … stock's expected return including both liquidity risk and asset price bubbles. This yields a generalized intertemporal and …

We show that the interplay between endogenous limited participation and credit lines creates asset price bubbles in a … least as well off. Optimal liquidity is found to be consistent with the existence of bubbles in stock and bond markets under … emergence of bubbles on stock prices that is tied to the direction of liquidity needs and the allocation of risk across …

jumps and price bubbles. We derive a generalized intertertemporal CAPM and consumption CAPM for these markets. The derived … depends on the existence of price bubbles, and in the number and quantity of systematic risk factors …

Rational bubbles in stocks can cause increases in trading volume, even after accounting for their expansionary effect …. Bubbles, on the contrary, do not produce dividends and require more rebalancing after a bad shock …

, momentum and reversal patterns emerge, which might escalate to bubbles and crashes. The model features increasing volume but … declining liquidity during positive bubbles, and lowest liquidity after negative bubbles …

ensure debt repayment. Low interest rates, in turn, create conditions for bubbles. I show that bubbles in unsecured private … debt exist when the punishment for default is a permanent or a temporary interdiction to trade. Bubbles are an inefficient …