Multilayer Network Risk Factor Pricing Model
This paper proposes a multilayer network risk factor pricing model to depict the impact of interactions between stocks on excess stock returns by constructing the network risk factor based on the stock multilayer network and introducing it to the traditional three-factor pricing model. According to...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/6618853 |
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| Summary: | This paper proposes a multilayer network risk factor pricing model to depict the impact of interactions between stocks on excess stock returns by constructing the network risk factor based on the stock multilayer network and introducing it to the traditional three-factor pricing model. According to China’s stock market data, we find that compared with the traditional three-factor model, the multilayer network risk factor pricing model can achieve higher fitting degree. Meanwhile, the multilayer network risk factor has a significant positive impact on the excess stock returns in most cases. |
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| ISSN: | 1076-2787 1099-0526 |