Production Networks and Stock Returns: The Role of Vertical Creative Destruction
研究了生产网络中企业距离消费者的远近如何影响其股票风险溢价，发现距离消费者越远的企业风险溢价越高，原因在于上游企业的正向生产率冲击会降低下游企业资产价值，即“垂直创造性破坏”。
Abstract We examine empirically and theoretically the relation between firms’ risk and distance to consumers in a production network. We document two novel facts: firms farther away from consumers have higher risk premiums and higher exposure to aggregate productivity. We quantitatively explain these findings using a general equilibrium model featuring a multilayer production process. The economic force is “vertical creative destruction,” that is, positive productivity shocks to suppliers devalue customers’ assets-in-place, thereby lowering the cyclicality of downstream firms’ values. We show that vertical creative destruction varies with competition and firm characteristics and generates sizable cross-sectional differences in risk premiums.