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Detecting asset price bubbles

Jarrow, Robert A. - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 30-34

Persistent link: https://www.econbiz.de/10009671713

An equilibrium capital asset pricing model in markets with price jumps and price bubbles

Jarrow, Robert A. - In: The quarterly journal of finance 8 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011921983

Asset price bubbles and the Land of Oz

Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 42 (2016) 2, pp. 37-42

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Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146

Persistent link: https://www.econbiz.de/10012055755

Market manipulation

Cherian, Joseph - In: Finance, (pp. 611-630). 1995

Persistent link: https://www.econbiz.de/10001317999

Market manipulation, bubbles, corners, and short squeezes

Jarrow, Robert A. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 3, pp. 311-336

Persistent link: https://www.econbiz.de/10001129750

Large-trader impact and market regulation

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

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Ex-dividend stock price behavior and arbitrage opportunities

Heath, David C. - In: The journal of business : B 61 (1988) 1, pp. 95-108

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Primes and scores : an essay on market imperfections

Jarrow, Robert A. - In: The journal of finance : the journal of the American … 44 (1989) 5, pp. 1263-1287

Persistent link: https://www.econbiz.de/10001080359

Asset Price Bubbles, Market Liquidity and Systemic Risk

Jarrow, Robert A. - 2019

This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic...

Persistent link: https://www.econbiz.de/10012899970