A Demand System Approach to Asset Pricing
NBER Working Paper No. 21749
---- 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 Hortaçsu, Michael Johannes, Dong Lou, Tobias Moskowitz, Anna Pavlova, Hélène Rey, Andrea Vedolin, Pierre-Olivier Weill, and four referees. We thank Joseph Abadi and Mu Zhang for research assistance on some proofs. We also thank seminar participants at Bank of Canada, Bank of England, Banque de France, Baruch College, Bocconi University, Boston University, Duke University, FRB of Minneapolis, FRB of New York, Harvard University, HEC Paris, Hitotsubashi University, Imperial College London, LBS, London Quant Group, LSE, MIT, Oxford University, Pennsylvania State University, Princeton University, Stanford University, Texas A&M University, Toulouse School of Economics, UCLA, University College London, University of Chicago, University of Michigan, University of Minnesota, UNC, University of Notre Dame, UT Austin, Yale University, 2015 Banque de France-Toulouse School of Economics Conference on Monetary Economics and Finance, 2015 Four Nations Conference, 2015 Annual Conference of Paul Woolley Centre, 2015 EFMA Annual Meeting, 2015 Annual SoFiE Conference, 2015 NBER Summer Institute Forecasting and Empirical Methods in Macro and Finance, 2015 Brazilian Finance Meeting, 2015 EFA Annual Meeting, 2015 NYU Stern Five-Star Conference, 2015 NBER Market Microstructure Meeting, 2016 NBER New Developments in Long-Term Asset Management Conference, and 2017 AFA Annual Meeting. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.