Anmerkungen:
In: Journal of Finance, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 1, 2017 erstellt
Beschreibung:
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