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The Globalization Risk Premium
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DOI：10.1111/jofi.12780.png)
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In this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility. We find that the premium emanates from the risk of displacement of least efficient firms triggered by import competition. These findings suggest that foreign productivity shocks are associated with times when consumption is dear for investors. We discuss conditions under which a standard model of trade with asset prices can rationalize this puzzle.
Keyword:
IMPORT COMPETITION
PRODUCTIVITY IMPROVEMENTS
TRADE LIBERALIZATION
INTERNATIONAL-TRADE
HOME BIAS
GROWTH
COSTS
FIRMS
GEOGRAPHY
INFORMATION
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9.5
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4.0K
被引数:
5.0W
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Local does as local is: Information content of the geography of individual investors' common stock investments.png)
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