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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| _version_ | 1832560215382294528 |
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| author | Yu Liu Conglin Hu Lei Wang Kun Yang |
| author_facet | Yu Liu Conglin Hu Lei Wang Kun Yang |
| author_sort | Yu Liu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-df03556db122457085c0bcd1884c3f01 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-df03556db122457085c0bcd1884c3f012025-02-03T01:28:10ZengWileyComplexity1076-27871099-05262020-01-01202010.1155/2020/66188536618853Multilayer Network Risk Factor Pricing ModelYu Liu0Conglin Hu1Lei Wang2Kun Yang3School of Cyber Science and Engineering, Southeast University, Nanjing 211189, ChinaAntai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, ChinaSchool of Economics and Management, Southeast University, Nanjing 211189, ChinaSchool of Economics and Management, Southeast University, Nanjing 211189, ChinaThis 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.http://dx.doi.org/10.1155/2020/6618853 |
| spellingShingle | Yu Liu Conglin Hu Lei Wang Kun Yang Multilayer Network Risk Factor Pricing Model Complexity |
| title | Multilayer Network Risk Factor Pricing Model |
| title_full | Multilayer Network Risk Factor Pricing Model |
| title_fullStr | Multilayer Network Risk Factor Pricing Model |
| title_full_unstemmed | Multilayer Network Risk Factor Pricing Model |
| title_short | Multilayer Network Risk Factor Pricing Model |
| title_sort | multilayer network risk factor pricing model |
| url | http://dx.doi.org/10.1155/2020/6618853 |
| work_keys_str_mv | AT yuliu multilayernetworkriskfactorpricingmodel AT conglinhu multilayernetworkriskfactorpricingmodel AT leiwang multilayernetworkriskfactorpricingmodel AT kunyang multilayernetworkriskfactorpricingmodel |