A Demand System Approach to Asset Pricing
构建了一个允许投资者资产需求灵活异质性的定价模型，匹配机构与家庭持股数据，并提出工具变量估计法解决需求与价格的内生性，可用于分析机构在股市波动与可预测性中的作用。
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.