Networks in Production: Asset Pricing Implications

• 成果类型: Article
• 署名作者: Herskovic, Bernard
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12684
• 发表日期: 2018
• 页码: 1785-1818
• 关键词: risk; returns; origins; shocks; micro; LINKS; MODEL

摘要

In this paper, I examine asset pricing in a multisector model with sectors connected through an input-output network. Changes in the network are sources of systematic risk reflected in equilibrium asset prices. Two characteristics of the network matter for asset prices: network concentration and network sparsity. These two production-based asset pricing factors are determined by the structure of the network and are computed from input-output data. Consistent with the model predictions, I find return spreads of 4.6% and -3.2% per year on sparsity and concentration beta-sorted portfolios, respectively.