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A Demand System Approach to Asset Pricing / Ralph S.J. Koijen, Motohiro Yogo.
- Format:
- Book
- Author/Creator:
- Koijen, Ralph S.J.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w21749.
- NBER working paper series no. w21749
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2015.
- Summary:
- We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match institutional and household holdings. A portfolio choice model implies characteristics-based demand when returns have a factor structure and expected returns and factor loadings depend on the assets' own characteristics. We propose an instrumental variables estimator for the characteristics-based demand system to address the endogeneity of demand and asset prices. Using US stock market data, we illustrate how the model could be used to understand the role of institutions in asset market movements, volatility, and predictability.
- Notes:
- Print version record
- November 2015.
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