Ấn phẩm:
Effects of network centrality on stock returns: a literature review
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Tác giả chính
Le To Minh Tan PhD.
Le Thi Thuy Van PhD.
Hoang Hanh Nguyen MSc.
Phan Nhat Quang MSc.
Le Thi Thuy Van PhD.
Hoang Hanh Nguyen MSc.
Phan Nhat Quang MSc.
Tác giả khác
Năm xuất bản
2026
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Học viện Tài chính
Tóm tắt
This literature review examines the evolving paradigm of asset pricing by synthesizing recent research on the impact of network centrality on stock returns. Moving beyond traditional models, this review explores how the topology of production, informational, and financial networks endogenously determines risk premiums. Methodologically, the reviewed literature covers nonlinear general equilibrium models, variance decomposition frameworks, and network centrality measures applied to several markets including the United States, China, Australia, and Turkey. The findings reveal a complex, context-dependent relationship between network position and performance. In economies like the U.S., centrality in production networks functions as a chanel for spilling shocks, resulting in a significant return premium for central industries. Conversely, evidence from other markets suggests a "diversification hypothesis" where centrality offers a buffer against localized risks, leading to lower expected returns. Within informational networks, centrality facilitates superior news diffusion and alpha generation. Alhough these human-led advantages are increasingly substituted by FinTech and quantitative automation. Finally, financial sector connectedness is identified as a distinct pricing factor which captures both systemic vulnerability and credit intermediation dependence in non-financial firms.
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vie
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Chủ đề
network centrality , systematic risk , production networks , information diffusion , asset pricing
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