This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models …. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding … of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …

In the context of an equilibrium model with multiple risky assets, we map the characteristics of the network connecting … firms' fundamentals to the cross-section of expected returns. We interpret network connectivity as the ability to transfer a … the model to the data and estimate the network structure. In accordance with theoretical predictions, we find evidence of …

theoretical findings, we estimate an empirical network from industry cash flows and find support for these predictions …

the different network topologies, mimetic contagion arises through the adaptive behavior of the heterogeneous agents … communication networks. Simulation results suggest a correlation between the network centralization measures and the volatility of … the resulting stock prices. -- microsimulation ; financial markets ; network topologies ; mimetic contagion ; herd …