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 studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … volatility. Our results hold for different measures of volatility such as implied volatility, EGARCH volatility from daily … returns, and realized volatility from high-frequency data. The results are robust to firm characteristics, stock and option …

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 …