[1] empirically investigates FX markets and shows that demand shocks propagate across currencies and asset markets through three traded FX risk factors.
[2] empirically investigates stock markets and shows that factor‐level quantity information helps explain the cross-section of expected stock returns.
[3] shows that all well‑constructed long‑short portfolios (i.e., asset‑pricing factors) have net‑zero supply (Q=0), so the standard elasticity (dQ/Q)/(dP/P) from microeconomics does not apply.
[4] and [5] develop the general theory starting from P = E[MX]. The key innovation is an arbitrage-based characterization of the price-quantity relationship in the cross-section of assets.
[4] focuses solely on the demand effect, examining how quantities influence the pricing kernel M. This utility‑free approach generalizes the mean‑variance model as a special case.
[5] incorporates the information effect, examining how the payoff X is updated based on trading quantities. This distribution-free approach generalizes the normal-distribution updating model as a special case.
[6] shows that the factor model of price impact is a natural generalization of the traditional mean-variance model in a dynamic setting where investor trading is predictable.