; ; ; "ActiveFedora::Aggregation::ListSource" . ; . a , ; "A Demand System Approach to Asset Pricing"; ; "batchuser@example.com"; "Yogo, Motohiro", "Koijen, Ralph S. J."; "Federal Reserve Bank of Minneapolis"; "Liquidity", "Portfolio choice", "Demand system", "Institutional investors", "Asset pricing model"; "G12 - Asset Pricing; Trading Volume; Bond Interest Rates", "G23 - Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors"; "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 U.S. stock market data, we illustrate how the model could be used to understand the role of institutions in asset market movements, volatility, and predictability."^^; "2019-07-23"; "2019-05-17T14:16:24.892806627+00:00"^^; "https://doi.org/10.21034/sr.510"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "Thu Nov 7 22:34:12 2019"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "868", "411"; "Staff report (Federal Reserve Bank of Minneapolis. Research Department)"; "510"; "Institutional investors", "Demand system", "Liquidity", "Asset pricing model", "Portfolio choice"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Research Department"; "This Staff Report was previously titled \"An Equilibrium Model of Institutional Demand and Asset Prices.\""^^, "Published in: _Journal of Political Economy_ (Vol. 127, No. 4, August 2019, pp. 1475-1515), https://doi.org/10.1086/701683."^^; ; "Publication" . ; ; .