dc.contributor.author | Branger, Nicole | |
dc.contributor.author | Konermann, Patrick | |
dc.contributor.author | Meinerding, Christoph | |
dc.contributor.author | Schlag, Christian | |
dc.date.accessioned | 2023-04-25T12:18:17Z | |
dc.date.available | 2023-04-25T12:18:17Z | |
dc.date.created | 2020-11-13T15:51:32Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Review of Finance, Volume 25, Issue 3, May 2021, Pages 777–818, | en_US |
dc.identifier.issn | 1572-3097 | |
dc.identifier.uri | https://hdl.handle.net/11250/3064953 | |
dc.description.abstract | Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate through the economy command a higher market price of risk. Second, shock-receiving assets earn an extra premium since their valuation ratios drop upon shocks in connected assets. Third, a hedge effect pushes risk premia down: when a shock propagates through the economy, an asset that is unconnected becomes relatively more attractive and its valuation ratio increases. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Oxford Uni. Press | en_US |
dc.subject | Finans | en_US |
dc.subject | Finance | en_US |
dc.title | Equilibrium Asset Pricing in Directed Networks | en_US |
dc.type | Journal article | en_US |
dc.type | Peer reviewed | en_US |
dc.description.version | acceptedVersion | en_US |
dc.subject.nsi | VDP::Bedriftsøkonomi: 213 | en_US |
dc.subject.nsi | VDP::Business: 213 | en_US |
dc.source.pagenumber | 777–818 | en_US |
dc.source.volume | 25 | en_US |
dc.source.journal | Review of Finance | en_US |
dc.source.issue | 3 | en_US |
dc.identifier.doi | 10.1093/rof/rfaa035 | |
dc.identifier.cristin | 1847859 | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 | |