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- W2201609015 abstract "We analyze the implications of network structures for equilibrium asset prices, where networks are represented via mutually exciting jump processes for dividends. Our approach provides a flexible and tractable framework for asset pricing when the direction of shock propagation is relevant. We document that this directedness matters, e.g., for return volatilities, and taking it into account can lead to a substantially different interpretation of empirical findings, e.g., concerning a flight-to-quality effect. The model generates the positive centrality premium documented empirically in Ahern (2013), and we show that this premium is distinctly different from a standard CAPM-like premium for market risk." @default.
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- W2201609015 date "2014-01-01" @default.
- W2201609015 modified "2023-10-07" @default.
- W2201609015 title "Equilibrium Asset Pricing in Networks with Mutually Exciting Jumps" @default.
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