Asset Pricing in Network Economies with Systemic Risk
| Autor: | Andrea Buraschi, Claudio Tebaldi |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
History
Financial contagion Polymers and Plastics Risk premium media_common.quotation_subject Structural break Industrial and Manufacturing Engineering Economy Systemic risk Economics Capital asset pricing model Asset (economics) Business and International Management Function (engineering) media_common |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| Popis: | This paper studies intertemporal asset pricing in network economies when distress shocks can propagate through the network, similarly to epidemic outbreaks. Two classes of equilibria exist. In the first, idiosyncratic shocks are diversifi able and don't affect valuations: CCAPM applies. In the second, idiosyncratic shocks generate non-diversifi able long-run cascades of shocks ( financial pandemics) that introduce a new risk premium component unexplained by traditional systematic factors. We derive closed-solutions for asset prices as a function of the network properties and discuss their properties. After a structural break (1984), we find evidence of a network risk premium that is statistically and economically signifi cant. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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