Professor Ralph Koijen will give a presentation on “Inelastic markets and asset demand systems”.
Many questions of interest to the asset management industry, policymakers, and academics are “quantity questions.” That is, how does a shift in demand affect asset prices and potentially other outcomes. Examples include the growth in ESG investing, the transition from active to passive investing, the impact of quantitative easing and tightening, just to name a few. To provide credible answers to those questions, we need a quantitative model of investors’ demand. We have developed such models in a series of papers for the cross-section of US equities, global equity, currency, and fixed income markets, and the aggregate stock market in the US. In this seminar, we discuss some of the highlights of this research with a particular focus on the US stock market.
About the presenter
Ralph S. J. Koijen is the AQR Capital Management Distinguished Service Professor of Finance and Fama Faculty Fellow at the University of Chicago’s Booth School of Business. He is an NBER research associate and a research fellow of the Centre for Economic Policy Research. He is a coeditor of the Review of Financial Studies, codirector of the NBER Asset Pricing Program, and a director of the American Finance Association.
Koijen’s research focuses on macro- finance, asset pricing, insurance, and econometrics. He was awarded the 2019 Fischer Black Prize by the American Finance Association for original research relevant to finance practice and the 2021 Germán Bernácer Prize for outstanding contributions in the fields of macroeconomics and finance. He received his undergraduate degree in econometrics and his PhD in finance from Tilburg University.
Title: “Inelastic markets and asset demand systems”
Speaker: Ralph Koijen, AQR Capital Management distinguished service professor of finance and Fama faculty fellow University of Chicago, Booth School of Business
Date: 14 June 2022
Time: 16.00h CET
To register: click here
The webinar will be accessible to Inquire Europe and Inquire UK members, as well as to other interested members of the public.