Equilibrium Asset Pricing in Directed Networks
Zusammenfassung
Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate through the economy command a higher market price of risk. Second, shock-receiving assets earn an extra premium since their valuation ratios drop upon shocks in connected assets. Third, a hedge effect pushes risk premia down: when a shock propagates through the economy, an asset that is unconnected becomes relatively more attractive and its valuation ratio increases.
Zitieren als
Branger, N., Konermann, P., Meinerding, C., & Schlag, C. (2021). Equilibrium Asset Pricing in Directed Networks. Review of Finance, 2021, 777–818.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2021
Fachzeitschrift
Review of Finance
Band
2021
Erste Seite
777
Letzte Seite
818
Sprache
Englisch
ISSN
1572-3097
DOI