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A demand system approach to asset pricing

Author(s): Koijen, RSJ; Yogo, Motohiro

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dc.contributor.authorKoijen, RSJ-
dc.contributor.authorYogo, Motohiro-
dc.date.accessioned2019-07-10T20:04:06Z-
dc.date.accessioned2019-12-09T18:10:48Z-
dc.date.available2019-07-10T20:04:06Z-
dc.date.available2019-12-09T18:10:48Z-
dc.date.issued2019-06-19en_US
dc.identifier.citationKoijen, RSJ, Yogo, M. (2019). A demand system approach to asset pricing. Journal of Political Economy, 10.1086/701683en_US
dc.identifier.issn0022-3808-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr1mb4c-
dc.description.abstract© 2019 by The University of Chicago. All rights reserved. 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.en_US
dc.format.extent1 - 41en_US
dc.language.isoenen_US
dc.relation.ispartofJournal of Political Economyen_US
dc.relation.replaceshttp://arks.princeton.edu/ark:/88435/pr1814h-
dc.relation.replaces88435/pr1814h-
dc.rightsFinal published version. Article is made available in OAR by the publisher's permission or policy.en_US
dc.titleA demand system approach to asset pricingen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1086/701683-
dc.identifier.eissn1537-534X-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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