A0285
Title: Production network positions and risk premia: A semiparametric approach
Authors: Chao Yang - Shanghai University of Finance and Economics (China) [presenting]
Abstract: Ever since the financial recession in 2008, more and more attention has been paid to the role that production networks play in translating idiosyncratic risks. According to the theoretical models, owing to the input-output linkages, the risks from a supplier and/or a customer of production intermediaries may be amplified and propagated. Different positions in the production network would then induce heterogeneous exposure to this network risks. By adopting a flexible semiparametric characteristics-based factor model, we investigate how the factor loadings would be influenced by firms' positions in the production network, such as in-degree, out-degree, and centrality, in the Chinese asset market.
