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 …

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 …

This paper examines the pricing of short-term and long-term dynamic network risk in the cross-section of stock returns …. Stocks with high sensitivities to dynamic network risk earn lower returns. We rationalize our finding with economic theory … that allows the stochastic discount factor to load on network risk through the precautionary savings channel. A one …

In this paper we present a new approach to analyse the interconnectedness between a macro-level network and a local …-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of … entities within a global network which can influence other entities within their own local network but are not relevant enough …

structure of price interdependencies across stocks. For correct empirical network determination of such dynamic liquidity price … bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …

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 …