Demand System Asset Pricing: Literature Review

Cross-section of US Equities

• Koijen, Ralph SJ, and Motohiro Yogo. "A demand system approach to asset pricing." Journal of Political Economy, 2019.
• Koijen, Richmond, and Yogo. "Which Investors Matter for Equity Valuations and Expected Returns?" 2023, working paper.
• Davis, Kargar, and Li. "Why is Asset Demand Inelastic?" 2023, working paper.
• Betermier, Calvet, and Yo. "A Supply and Demand Approach to Financial Markets." 2023, working paper.
• Egan, MacKay, and Yang. "Recovering Investor Expectations from the Demand for Index Funds." Review of Economic Studies, 2022.
• Egan, MacKay, and Yang. "What Drives Variation in Investor Portfolios?" 2023, working paper.
• Chaudhry. "Do Subjective Growth Expectations Matter for Asset Prices?" 2023, working paper.
• Noh, Oh, and Song. "Unpacking the Demand for Sustainable Equity Investing." 2023, working paper.
• Chen, Liang, and Shi. "Who Chases Returns? Evidence from the Chinese Stock Market." 2023, working paper.
• van der Beck. "Flow-driven ESG Returns." 2023, working paper.
• Mainardi. "A Demand-based Approach to Short Selling." 2023, working paper.
• Tamoni, Sokolinski, and Li. "Which Investors Drive Anomaly Returns and How?" 2022, working paper.
• Sabbatucci, Tamoni, and Xiao. "Stock Demand and Price Impact of 401(k) Plans." 2023, working paper.
• Hadded, Huebner, and Loualiche. "How Competitive is the Stock Market?" 2022, working paper.
• Huebner. "The Making of Momentum: A Demand System Perspective." 2023, working paper.
• van der Beck and Jaunin. "The Equity Market Implications of the Retail Investment Boom." 2023, working paper.
• McClure and Nikolaev. "Demand for Stocks and Accounting Information." 2023, working paper.

Aggregate stock market

• Gabaix and Koijen. "The Inelastic Markets Hypothesis." 2022, working paper.
• Dahlquist and Ibert. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers." 2022, working paper.
• Giglio, Maggiori, Stroebel, and Utkus. "Five Facts about Beliefs and Portfolios." American Economic Review, 2021.

Cross-section of US corporate bonds

• Koijen and Yogo. "Understanding the Ownership Structure of Corporate Bonds." American Economic Review: Insights, 2023.
• Bretscher, Schmid, Sen, and Sharma. "Institutional Corporate Bond Pricing." 2023, working paper.
• Darmouni, Siani, and Xiao. "Non-bank Fragility in Credit Markets: Evidence from a Two-layer Asset Demand System." 2023, working paper.

Government bond markets

• Koijen, Koulischer, Nguyen, and Yogo. "Inspecting the Mechanism of Quantitative Easing in the Euro Area." Journal of Financial Economics, 2021.
• Jansen. "Long-term Investors, Demand Shifts, and Yields." 2023, working paper.
• Greenwood and Vissing-Jorgensen. "The Impact of Pensions and Insurance on Global Yield Curves." 2018, working paper.
• Vayanos and Vila. "A Preferred-Habitat Model of the Term Structure of Interest Rates." Econometrica, 2021.

Exchange rates and global financial markets

• Koijen and Yogo. "Exchange Rates and Asset Prices in a Global Asset Demand System." 2020, working paper.
• Gabaix and Maggiori. "International Liquidity and Exchange Rates." Quarterly Journal of Economics, 2015.
• Camanho, Hau, and Rey. "Global Portfolio Rebalancing and Exchange Rates." Review of Financial Studies, 2022.
• Jiang, Richmond, and Zhang. "A Portfolio Approach to Global Imbalances." Journal of Finance, 2023.
• Jiang, Richmond, and Zhang. "Understanding the Strength of the Dollar." 2023, working paper.

Crypto markets

• Benetton and Compiano. "Investors’ Beliefs and Cryptocurrency Prices." 2022, working paper.
• Stolborg. "Demand Based Bitcoin Pricing." 2023.

Identification: Cross-section

• Chang, Hong, and Liskovich. "Regression Discontinuity and the Price Effects of Stock Market Indexing." Review of Financial Studies, 2015.
• Pavlova and Sikorskaya. "Benchmarking Intensity." Review of Financial Studies, 2023.
• van der Beck. "On the Estimation of Demand-based Asset Pricing Models." 2022, working paper.

Identification: Factors and aggregate market

• Gabaix and Koijen. "Granular Instrumental Variables." 2023, working paper.
• Hartzmark and Salamon. "Marketwide Predictable Price Pressure." 2023, working paper.
• Da, Lorrain, Sialm, and Tessada. "Destabilizing Financial Advice." Review of Financial Studies, 2018.
• Ben-David, Li, Rossi, and Song. "Ratings-driven Demand and Systematic Price Fluctuations." Review of Financial Studies, 2022.
• Li. "What Drives the Size and Value Factors." Review of Asset Pricing Studies, 2022.
• Li and Lin. "Prices are Less Elastic for Less Diversifiable Demand." 2022, working paper.
• Li, Pearson, and Zhang. "Impact of Demand Shocks on the Stock Market." 2021, working paper.

Identification: FX

• Hau, Massa, and Peress. "Do Demand Curves for Currencies Slope Down?" Review of Financial Studies, 2010.
• Aldunate, Da, Larrain, and Sialm. "Pension Fund Flows, Exchange Rates, and Covered Interest Rate Parity." 2023, working paper.

Identification: Credits

• Chaudhary, Fu, and Li. "Corporate Bond Elasticities: Substitutes Matter." 2023, working paper.
• Bretscher, Schmid, and Ye. "Passive Demand and Active Supply: Evidence from Maturity-Mandated Corporate Bond Funds." 2023, working paper.