Firm Networks and Asset Returns
研究了冲击在企业网络中的传播如何影响股票回报的总体和截面特征，模型匹配美国供应商-客户网络的关键特征，解释了长期消费风险、高波动风险溢价以及按中心性排序的投资组合回报模式。
Abstract 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.