NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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A Demand System Approach to Asset Pricing

Ralph S.J. Koijen, Motohiro Yogo

NBER Working Paper No. 21749
Issued in November 2015, Revised in August 2018

---- Acknowledgments ----

An earlier version was titled "An Equilibrium Model of Institutional Demand and Asset Prices." Koijen acknowledges financial support from the European Research Council (grant 338082) and the Center for Research in Security Prices at the University of Chicago Booth School of Business. For comments and discussions, we thank Marianne Andries, Malcolm Baker, Markus Brunnermeier, John Campbell, Joost Driessen, Stefano Giglio, Valentin Haddad, Ali Horta¸csu, Michael Johannes, Dong Lou, Tobias Moskowitz, Anna Pavlova, Helene Rey, Andrea Vedolin, Pierre-Olivier Weill, and four referees. We thank Joseph Abadi and Mu Zhang for research assistance on some proofs. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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