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• W3123078795 abstract "I provide evidence that financial contagion risk is an important source of the equity risk premium. Banks’ contributions to aggregate financial contagion are estimated in a state space framework and linked to systemic risk. Greater bank connectedness today leads to increased systemic risk 3–12 months later. More contagious banks earn significantly greater risk-adjusted returns than less contagious ones and the tradable high contagion-minus-low contagion bank portfolio is priced in the cross-section of stock returns. Stocks that co-move more strongly with contagious banks have greater expected returns. These results are robust to factor model specification, test assets, and time period considered." @default.
• W3123078795 created "2021-02-01" @default.
• W3123078795 creator A5015948451 @default.
• W3123078795 date "2017-04-01" @default.
• W3123078795 modified "2023-10-02" @default.
• W3123078795 title "Financial contagion risk and the stochastic discount factor" @default.
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• W3123078795 doi "https://doi.org/10.1016/j.jbankfin.2017.01.012" @default.
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