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Published in 2019 at "Quantitative Finance"
DOI: 10.1080/14697688.2019.1576918
Abstract: Inspired by the Capital Asset Pricing Model (CAPM) beta, we construct customer and supplier betas to separately investigate potentially different properties of downstream and upstream linkages. With the adjacency matrix acting as a ‘filter’ to…
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Keywords:
financial crisis;
customer;
resilience financial;
customer supplier ... See more keywords