Industries that are more central in the network of intersectoral trade earn higher stock returns than industries that are less central. This finding is economically substantial and robust to controls for firm size, leverage, industrial concentration, standard asset pricing factors, and other return determinants. To explain this finding, I draw on recent research that shows that macroeconomic fluctuations are the aggregation of sector-specific shocks. For stock returns, this implies that systematic risk originates from idiosyncratic shocks. I argue that stocks in more central industries have greater systematic risk and earn higher returns because they have greater exposure to idiosyncratic shocks that transmit from one industry to another through intersectoral trade.