Ralph S.J. Koijen
AQR Capital Management Distinguished Service Professor of Finance and Fama Faculty Fellow
University of Chicago, Booth School of Business, NBER, and CEPR
University of Chicago, Booth School of Business, NBER, and CEPR
2024 FMA overview presentation on demand system asset pricing
2024 Workshop on Demand System Asset Pricing
Sign up for the annual virtual Workshop on Demand System Asset Pricing, taught together with Xavier Gabaix and Motohiro Yogo, on May 6, 13, 20, and 28, 2024 from 9am-noon EST.
All are welcome to attend including PhD students, faculty, and policy economists. The workshop teaches you how to use asset demand systems to answer questions in asset pricing and macro finance. We will cover data construction, model estimation, identification, and applications. We will assign optional coding exercises between sessions so that participants will gain practical experience to start doing research using asset demand systems. For more background on asset demand systems, please see https://www.nber.org/reporter/2021number4/asset-demand-systems-macro-finance.
Agenda
2024 Workshop on Demand System Asset Pricing
Sign up for the annual virtual Workshop on Demand System Asset Pricing, taught together with Xavier Gabaix and Motohiro Yogo, on May 6, 13, 20, and 28, 2024 from 9am-noon EST.
All are welcome to attend including PhD students, faculty, and policy economists. The workshop teaches you how to use asset demand systems to answer questions in asset pricing and macro finance. We will cover data construction, model estimation, identification, and applications. We will assign optional coding exercises between sessions so that participants will gain practical experience to start doing research using asset demand systems. For more background on asset demand systems, please see https://www.nber.org/reporter/2021number4/asset-demand-systems-macro-finance.
Agenda
- Session 1: A demand system for the cross-section of stocks.
- Topics: Micro foundations, data construction, identification, estimation, and applications.
- Main paper: A Demand System Approach to Asset Pricing
- Session 2: A demand system for the cross-section of global financial markets.
- Topics: Micro foundations, data construction, identification, estimation, and applications.
- Main paper: Exchange Rates and Asset Prices in a Global Demand System
- Session 3: A dynamic asset demand system for the aggregate market and the cross-section of stocks.
- Lecture notes GIV
- Lecture notes IMH
- Topics: A dynamic asset demand system, identification, and estimation.
- Main papers:
- Session 4: Asset embeddings and open questions.
- Lecture notes Asset Embeddings
- Lecture notes open research topics
- Topics: Using AI methods to extract asset embeddings from the asset demand system and open research questions.
- Main paper: Asset Embeddings