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Peter Kondor

Institution

London School of Economics and Political Science

PhD Year

2006

Phone

+4420 7107 5011

p.kondor@lse.ac.uk

FTG Membership

Member

Website

https://www.peterkondor.net/

Featured Work

Nov 1, 2025

Zhiguo He, Peter Kondor | Working Paper No. 00191-00

Demand Elasticity in Dynamic Asset Pricing

Standard demand elasticity estimation treats investors’ demand slopes as stable objects that can be traced out by exogenous residual supply shifts. We show this identification strategy fails in dynamic settings: supply shocks cause demand curves to tilt and shift through general equilibrium effects. The mechanism is intuitive — investors’ demand depends on the entire distribution of current and future returns, including volatility, covariances, and correlations...

Aug 4, 2025

Zhiguo He, Peter Kondor, Jessica Shi Li

Demand Elasticity in Dynamic Asset Pricing

We show that the standard econometric approach relying on exogenous residual supply shocks systematically underestimates the slope of investors' asset demand curves in dynamic settings. We develop a multi-asset, multi-agent continuous-time model featuring long-lived investors and short-lived hedgers whose demand shifts create exogenous supply changes. Our key finding is that these supply shifts alter the very demand slope that econometricians seek to measure through general...