Networks in Production: Asset Pricing Implications
研究多部门经济中投入产出网络结构如何影响资产价格，发现网络集中度和稀疏度是两种生产驱动的定价因子，分别带来4.6%和-3.2%的年化收益差。
ABSTRACT 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.