Short versus long-run demand elasticities in asset pricing
成果类型：
Article
署名作者：
van der Beck, Philippe
署名单位：
Harvard University
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2026.104337
发表日期：
2026-10
页码：
104337
关键词：
demand elasticities
asset pricing
institutional investors
Portfolio inertia
PARTIAL ADJUSTMENT
Price impact
return reversal
CURVES
stocks
INVESTMENT
DYNAMICS
MARKETS
摘要：
This paper quantifies how investors' portfolio demand responds to price changes at long horizons versus short horizons. Using investor trades-changes in portfolios-at different horizons, I first present reduced-form evidence that elasticities increase significantly over time. I then propose a dynamic demand system via a parsimonious partial-adjustment model that recovers the full term structure of elasticities while mitigating long-horizon identification challenges. The estimates imply that price impacts are three times larger at quarterly horizons than in the long-run equilibrium. The model produces a novel, stock-level measure of long-term reversal that avoids the noise of long-horizon return regressions.
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