Review of Financial Studies Vol. 37 No. 10 2024
Firm Networks and Asset Returns
open access
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.
- DOI
- 10.1093/rfs/hhae032
- Volume
- 37
- Issue
- 10
- Pages
- 3050-3091
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref