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Equilibrium Asset Pricing in Directed Networks
(2018-10-16)
Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ...
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
(2018-08-08)
The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...