Research seminars

An Equilibrium Model of Institutional Demand and Asset Prices

Finance

Speaker: Ralph Koijen
LBS

2 April 2015


We develop an asset pricing model with rich heterogeneity in asset demand across investors, designed to match institutional holdings data. The equilibrium price vector is uniquely determined by market clearing, which equates the supply of each asset to aggregate demand. We estimate the model on U.S. stock market data by instrumental variables, under an identifying assumption that allows for price impact. The model sheds light on the role of institutions in stock market liquidity, volatility, and predictability. We also relate the model to consumption-based asset pricing and Fama-MacBeth regressions

The latest pdf is at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2537559​

Finance

Speaker: Xavier Gabaix

13 June 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Adriano Rampini

23 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Luke Taylor

16 May 2019 - T105 - From 2:00 pm to 3:15 pm


Finance

Speaker: Jessica Jeffers

18 April 2019 - T104 - From 2:00 pm to 3:15 pm


Finance

Speaker: Emil Verner

4 April 2019 - T104 - From 2:00 pm to 3:15 pm



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