A15: Applications and Advances in Demand-based Asset Pricing

• Applicant: Dr. Rüdiger Weber
• Subject Area: Accounting and Finance
• Term: since 2026
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 447617473

In this project, we apply the paradigm of demand-based asset pricing to mutual fund fire sales, focusing on the demand elasticity of 'specialized investors', i.e., specific groups of investors with particularly high valuations and elastic demand for specific stocks. Preliminary results suggest that only with a lack of such elastic 'specialized demand', equity fire sales have non-negligible but non-fundamental price impact. For corporate bonds, we estimate a demand system that accounts for the fragmented market structure in bond markets. This fragmentation, as well as other specific features of the bond market make it an obvious use case for the concept of specialization. Finally, we plan to add to the literature on asset price elasticities by aggregating from individual-investor demand curves in order to recover price-dependent demand elasticities and state-dependent demand curves.

• DFG Programme: Research Units
• Subproject of: FOR 5230: Financial Markets and Frictions - An Intermediary Asset Pricing Approach
• International Connection: Canada
• Cooperation Partner: Professorin Aleksandra Rzeznik, Ph.D.