This thesis investigates the relationship between investors' demand shocks and asset prices
through the use of data on portfolio holdings. In three chapters, I study the theory, estimation,
and application of demand-based asset pricing models, which incorporate data on investors'
portfolio holdings and equilibrium asset prices. I first present a generalized framework and
propose a new estimator of investor-specific demand curves that is based on time-series
changes in investors' portfolios. I then use and extend the proposed estimator to quantify the
equilibrium price impact of the growing institutional demand for sustainable investments. I
show that the returns from sustainable investing are strongly driven by price pressure from
flows towards sustainable funds, causing high realized returns that do not reflect high expected
returns. The last chapter quantifies the price impact of the retail investment boom during
the Covid-19 pandemic via a structural model that uses data on portfolio holdings of US
households.