Before revision:  A two-standard deviation increase in long-term (short-term) network risk loadings associate with a 14.73\% (12.96 \%) drop in annualized expected returns.
After revision:  We rationalize our finding with economic theory that allows the stochastic discount factor to load on network risk through the precautionary savings channel. A one-standard deviation increase in long-term (short-term) network risk loadings associate with a 14.73\% (12.96 \%) drop in annualized expected returns.