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Rational asset pricing bubbles and portfolio constraints
Hugonnier, Julien - 2010
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 …
Persistent link: https://www.econbiz.de/10003966068
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Dynamic Equilibrium with Heterogeneous Agents and Risk Constraints
Prieto, Rodolfo - 2011
amplify aggregate fluctuations. Constraints may give rise to bubbles, whose emergence is associated to the risk aversion …
Persistent link: https://www.econbiz.de/10013132941
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International capital markets with time-varying preferences
Curatola, Giuliano; Dergunov, Ilya - 2017
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10011698927
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International Capital Markets with Time-Varying Preferences
Curatola, Giuliano - 2017
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10012950589
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...
Persistent link: https://www.econbiz.de/10010257492
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Optimal Liquidity and Asset Bubbles
Detemple, Jerome; Kitapbayev, Yerkin; Prieto, Rodolfo - 2023
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 …
Persistent link: https://www.econbiz.de/10014348653
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An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles
Jarrow, Robert A. - 2017
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 …
Persistent link: https://www.econbiz.de/10012954630
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Bubbles and Trading Volume
Bidian, Florin - 2015
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 …
Persistent link: https://www.econbiz.de/10013033019
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Disagreements with noisy signals and asset pricing
Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012659556
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A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds : The Bubble Theory
Jarrow, Robert A. - 2017
theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing …
Persistent link: https://www.econbiz.de/10012960808