Firm Networks and Asset Returns

• 成果类型: Article
• 署名作者: Ramirez, Carlos A.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae032
• 发表日期: 2024
• 页码: 3050
• 关键词: risk-free rate; Long-run risk; equity premium; aggregate; shocks; linkages; origins; equilibrium; explanation; time

摘要

Changes in the propagation of shocks along firm networks are important to understanding aggregate and cross-sectional features of stock returns. When calibrated to match key characteristics of supplier-customer networks in the United States, a model in which firms are interlinked via enduring relationships generates long-run consumption risks, high and volatile risk premiums, and a small and stable risk-free rate. The model also matches cross-sectional patterns of portfolio returns sorted by firm centrality, a feature unaccounted for by standard asset pricing models. (JEL C67, E30, G12, L14)