论文标题
动态网络风险
Dynamic Network Risk
论文作者
论文摘要
本文研究了股票收益率横截面中短期和长期动态网络风险的定价。对动态网络风险敏感的股票获得较低的收益。我们利用经济理论合理地使我们的发现使随机折现因子通过预防储蓄渠道加载网络风险。长期（短期）网络风险负载的单个标准偏差增加，年度预期收益下降了7.66％（6.71％）。
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.
