Firm Networks and Asset Returns

Carlos Ramírez
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Carlos Ramírez: https://www.federalreserve.gov/econres/carlos-ramirez.htm

No 2017-014, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper argues that changes in the propagation of idiosyncratic shocks along firm networks are important to understanding variations in asset returns. When calibrated to match key features of supplier-customer networks in the United States, an equilibrium model in which investors have recursive preferences and firms are interlinked via enduring relationships generates long-run consumption risks. Additionally, the model matches cross-sectional patterns of portfolio returns sorted by network centrality, a feature unaccounted for by standard asset pricing models.

Keywords: Asset returns; Firm networks; Shock propagation (search for similar items in EconPapers)
JEL-codes: C02 C6 D53 E32 G12 L10 (search for similar items in EconPapers)
Pages: 80 pages
Date: 2017-01
New Economics Papers: this item is included in nep-bec, nep-mac and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2017-14

DOI: 10.17016/FEDS.2017.014r1

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