动态网络风险

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-06-08 DOI:10.2139/ssrn.3622200

M. Ellington, Jozef Baruník

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引用次数: 5

摘要

本文研究了股票收益横截面中短期和长期动态网络风险的定价问题。对动态网络风险高度敏感的股票收益较低。我们用允许随机贴现因子通过预防性储蓄渠道加载网络风险的经济理论来合理化我们的发现。长期(短期)网络风险负荷每增加一个标准差，年化预期回报就会下降7.66%(6.71%)。

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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Dynamic Network Risk

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-standard deviation increase in long-term (short-term) network risk loadings associate with a 7.66% (6.71%) drop in annualized expected returns.

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来源期刊

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)

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