When: May 13–14, 2027
Where: Louis A. Simpson International Building
Program committee: Ralph Koijen, Motohiro Yogo
Submission deadline: February 12, 2027
Call for papers
We are soliciting papers for a two-day conference on asset demand systems to better understand the equilibrium relation between asset prices and portfolio holdings. We welcome both methodological and empirical papers on asset demand systems with applications to asset pricing, corporate finance, industrial organization, macroeconomics, and international finance. Topics of interest include, but are not limited to
- Innovations in models of asset demand systems, including structural and empirical approaches.
- Identification of asset demand systems.
- Applications of new econometric tools, such as machine learning and AI, to portfolio holdings data.
- Predictions of financial and macroeconomic outcomes through asset demand systems.
- Out-of-sample evaluation of asset demand systems and comparisons of non-nested models.
- Applications of demand system asset pricing (DSAP) to understand financial market phenomena such as volatility, predictability, and anomalies.
- Applications of DSAP to fixed income, currencies, derivatives, and other understudied markets.
- Applications of DSAP to policy analysis, including (un)conventional monetary policy.
Travel
We will reserve rooms for all participants at the Nassau Inn. We cover up to two hotel nights for authors and discussants. Participants are otherwise responsible for their own travel costs. We have funds to cover part of the travel costs for authors and discussants who are unable to attend without external funding.