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20210408_吕漫妮_论文展示1
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2022-08-03
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20210408_吕漫妮_论文展示1
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Production Networks and Stock Returns:
The Role of Vertical Creative Destruction
Michael Gofman, Gill Segal and Youchang Wu
The Review of Financial Studies, 2020.12
Lv Manni
2021.4.8
Contents
• Introduction
• Background & Motivation
• Literatures
• Research Problem
• Contribution
• Data & Measure
• Empirical Results
• Theoretical Model
• Quantitative Results
• Robustness
• Alternative Explanations
• Conclusion
2021/4/8
Lv Manni
2
Backgrounds & Motivation
• Production takes place in a complex network comprised
of long and intertwined supply chains. This multistage
production process reflects the vertical organization of
production.
• Little is known about this vertical dimension of production
in connection to asset prices, especially at the firm-level.
• The strength of the supply effect is heterogeneous
across layers.
How do firms’ exposures to macroeconomic risks vary
with their upstreamness? What is the relation between
firms’ upstreamness and returns? Do supply chain
characteristics affect firms’ cost of capital?
2021/4/8 3
Lv Manni
Literatures
• creative destruction
creative destruction works horizontally: not all firms benefit
equally from innovations
vertical creative destruction: suppliers innovations devalue
customer firms
• production networks
stock return predictability via supplier-customer links
contemporaneous return across different layers
• production-based asset pricing
examine asset pricing implications in two-sector economies
account for a multilayer production process
2021/4/8 4
Lv Manni
Research Problem
• What is the relation between firms’ upstreamness and
their expected returns?
Firms farther away from consumers have higher risk
premiums and higher exposure to aggregate
productivity.
• How to explain these findings?
Using a general equilibrium model featuring a
multilayer production process, we find positive
productivity shocks to suppliers devalue customers’
assets-in-place.
• Anything matters?
Vertical creative destruction varies with competition
and firm characteristics.
2021/4/8 5
Lv Manni
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