| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21749 |
| 来源ID | Working Paper 21749 |
| A Demand System Approach to Asset Pricing | |
| Ralph S.J. Koijen; Motohiro Yogo | |
| 发表日期 | 2015-11-23 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w21749 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579424 |
| 推荐引用方式 GB/T 7714 | Ralph S.J. Koijen,Motohiro Yogo. A Demand System Approach to Asset Pricing. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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