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. (JEL C67, E32, G12)

中文翻译：

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公司网络和资产回报


沿着公司网络的冲击传播的变化对于理解股票回报的总体和横截面特征非常重要。当调整以匹配美国供应商-客户网络的关键特征时，企业通过持久关系相互联系的模型会产生长期消费风险、高且波动的风险溢价以及小而稳定的无风险利率。该模型还匹配按公司中心性排序的投资组合回报的横截面模式，这是标准资产定价模型未考虑到的特征。 （JEL C67、E32、G12）