Pricing Network Concentration as a Disaster-State Factor: A Partially Identified Pricing Kernel with a Falsifiable Closure

When financial markets all move together, crowding into a single shared mode, does that concentration of risk carry a price? This paper builds a rare-disaster model of asset prices in which the thing being priced is the unexpected change in how tightly stock-index returns move together, a concentration measure drawn from the pattern of dependence among them. The price this factor should command is fixed by theory rather than fitted to the data, so the claim can be tested and rejected. In a calibrated economy the test works as intended. Across eighteen global equity indices it rejects: the market prices concentration with the opposite sign to the disaster story, so the model is falsified on this panel. The result is reported as a diagnostic finding, not a pricing success: it is a disagreement about sign, it describes markets at the same moment rather than predicting them, and the model explains little of how average returns differ from one market to the next.