Product network and origin of common equity factor risks

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE
Yan Shi , Zili Zhang , Xuejun Zhao
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引用次数: 0

Abstract

This paper extends the multisector asset pricing model based on production networks, achieving direct pricing of a firm’s equity assets at a more microscopic level within the product network. An Equilibrium-Aligned PageRank (EA-PR) centrality algorithm is proposed, and it is theoretically proven that EA-PR centrality can reflect the relative value of products and further derive the value of firms. A new equity asset pricing factor is constructed based on the EA-PR centrality of firms. The key findings can be summarized as follows: Firstly, the EA-PR centrality of firms shows a significant positive linear predictability for equity returns, and the returns associated with the EA-PR centrality factor cannot be fully explained by the Fama–French 6 (FF6) factors. Secondly, the EA-PR centrality factor demonstrates significant explanatory power for the FF6 factors and, to some extent, exhibits predictive ability for future returns of the FF6 factors. Thirdly, the product network model can effectively reflect the market competitiveness and growth potential of firms, and firms with high EA-PR centrality have stronger value capture capabilities, improving gross profit margin, cash flow, and investment growth in the future. Finally, this study empirically demonstrates the consistency between the product network model and the pricing theory of the q5 model, which incorporates the expected growth factor.

普通股因素风险的产品网络和来源
本文扩展了基于生产网络的多部门资产定价模型,在产品网络的更微观层面实现了企业权益资产的直接定价。本文提出了一种均衡对齐 PageRank(EA-PR)中心度算法,并从理论上证明了 EA-PR 中心度可以反映产品的相对价值,并进一步推导出企业的价值。根据企业的 EA-PR 中心度构建了新的股票资产定价因子。主要结论可归纳如下:首先,企业的 EA-PR 中心性对股票收益率具有显著的正线性预测性,EA-PR 中心性因子相关的收益率不能完全由 Fama-French 6(FF6)因子解释。其次,EA-PR 中心性因子对 FF6 因子具有显著的解释力,并在一定程度上表现出对 FF6 因子未来收益的预测能力。第三,产品网络模型能有效反映企业的市场竞争力和增长潜力,EA-PR中心度高的企业具有更强的价值捕捉能力,在未来能提高毛利率、现金流和投资增长。最后,本研究通过实证证明了产品网络模型与包含预期增长因素的 q5 模型定价理论之间的一致性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
期刊介绍: The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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