Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2018
Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in … propagation capacity (spc). In the model, we prove: (i) Cash flow shocks of high spc assets command high market prices of risk …, (ii) the price reaction of an asset to its own cash flow shocks is less pronounced for high spc assets. To illustrate our …