Asset price bubbles, market liquidity, and systemic risk

DOI10.1007/S11579-019-00247-9MaRDI QIDQ829205zbMATH OpenOpenAlexWikidataFDO

Authors Sujan Lamichhane, Robert A. Jarrow

Publication date 5 May 2021

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-019-00247-9

zbMATH Keywords

systemic riskmarket liquiditybubblesasset price equilibriumborrowing/trading constraintsheterogeneous agents/beliefs

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles
• Equilibrium asset pricing with systemic risk
• A liquidity-based model for asset price bubbles
• Imperfect knowledge, liquidity and bubbles
• Asset market equilibrium with liquidity risk

Cites work

• A model for a large investor trading at market indifference prices. I: Single-period case
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
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• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Liquidity risk and arbitrage pricing theory
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• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Tobin's Marginal q and Average q: A Neoclassical Interpretation

Cited in

(10)

• Asset shortages, liquidity and speculative bubbles
• Imperfect knowledge, liquidity and bubbles
• Liquidity Based Modeling of Asset Price Bubbles via Random Matching
• Preface to the special issue on systemic risk and financial networks
• Equilibrium asset pricing with systemic risk
• Liquidity Black Holes *
• Illiquidity comovement and market crisis
• A CAPM with trading constraints and price bubbles
• A liquidity-based model for asset price bubbles
• Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

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