Abstract

https://ssrn.com/abstract=2615074
 


 



Networks in Production: Asset Pricing Implications


Bernard Herskovic


University of California, Los Angeles (UCLA) - Anderson School of Management

December 26, 2016


Abstract:     
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 a return spreads of 4.6% and -3.2% per year on sparsity and concentration beta-sorted portfolios, respectively.

Number of Pages in PDF File: 43

Keywords: Networks, Input-Output, Systematic Risk

JEL Classification: G12, G11, E13, E16


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Date posted: June 9, 2015 ; Last revised: February 27, 2017

Suggested Citation

Herskovic, Bernard, Networks in Production: Asset Pricing Implications (December 26, 2016). Available at SSRN: https://ssrn.com/abstract=2615074 or http://dx.doi.org/10.2139/ssrn.2615074

Contact Information

Bernard Herskovic (Contact Author)
University of California, Los Angeles (UCLA) - Anderson School of Management ( email )
Los Angeles, CA 90095-1481
United States
HOME PAGE: http://bernardherskovic.com
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